Modeling default risk charge (DRC) with intensity probability theory
The latest regulation [1] of the fundamental review of the trading book (FRTB) proposes replacing incremental risk charge (IRC) with default risk charge (DRC). Accordingly, many studies were implemented to analyze this change and its impact. Current modeling practices test several assumptions during...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2025-02-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2025137 |
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