Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

IRC sign in to follow this
regulatory capital sign in to follow this
liquidity risk sign in to follow this
credit risk sign in to follow this
Basel sign in to follow this
stressed VaR sign in to follow this
trading book sign in to follow this

VaR Methods sign in to follow this
--Monte Carlo sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Liquidity Risk, Credit Risk, Market Risk and Bank Capital
Company: International Journal of Managerial Finance
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: February
Resource Link: Click here to open
Pages: 134-152
Download Count: 0
View Count: 1756
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 2-7-2011
Publisher: Administrator
We investigate the relationship between liquidity and credit risk and employ our findings to estimate the Incremental Risk Charge (IRC), the new credit risk capital add-on introduced by the Basel Committee for banks’ trading book. We compare our IRC estimates with stressed market risk measures derived from a sample of corporate bond indices encompassing the recent financial crisis. This allows us to determine the extent to which trading book capital would change in stress conditions under newly proposed rules. e show that although the (incremental) credit risk in the trading book may be considerable, the capital needed to absorb market risk related losses in stressed scenarios can be more than 10 times larger.
(volume 7, number 2)
Varotto, Simone Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile