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What is the incremental risk charge?

Emily Adams | 2023-06-17 12:10:02 | page views：1190
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Gabriel Hughes

Works at Amazon, Lives in Seattle. Graduated from University of Washington with a degree in Business Administration.
The Incremental Risk Charge (--IRC--) is an estimate of default and migration risk of unsecuritized credit products in the trading book. The IRC model also captures recovery risk, and assumes that average recoveries are lower when default rates are higher.
2023-06-18 12:10:02
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Lucas Wilson

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The Incremental Risk Charge (--IRC--) is an estimate of default and migration risk of unsecuritized credit products in the trading book. The IRC model also captures recovery risk, and assumes that average recoveries are lower when default rates are higher.
1Q13 Basel 2.5 - Final - Morgan Stanley
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