李坏_品职助教 · 2021年11月29日
嗨,努力学习的PZer你好:
Basel讲义 P136: The incremental risk charge (IRC) covers (1) default risk and (2) credit migration risk for debt instruments. 所以IRC是包含了违约风险和信用下降风险的
P95: The specific risk charge (SRC): it covers risks related to specific companies such as those concerned with movements in a company's stock price or changes in a company's credit spread. SRC是指的那些对股价波动或信用状况变化非常敏感的公司的风险。
SRC主要是为了来计算市场风险的RWA,也就是风险加权资产的:
----------------------------------------------加油吧,让我们一起遇见更好的自己!