Guidelines for computing capital for incremental risk in the trading book
By Bank for International Settlements (BIS)
This consultative document marks a critical technical enhancement to the Basel II capital framework, introduced by the Basel Committee on Banking Supervision (BCBS) in direct response to the massive trading losses observed during the 2007 financial crisis. The core proposal is the introduction of the Incremental Risk Charge (IRC), designed to supplement the existing Value-at-Risk (VaR) framework.
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