Relevant bibliographies by topics / Default Risk Charge (DRC)

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Academic literature on the topic 'Default Risk Charge (DRC)'

Author: Grafiati
Published: 11 March 2023
Last updated: 31 July 2025

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Journal articles on the topic "Default Risk Charge (DRC)"

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Slime, Badreddine. "Mathematical Modeling of Concentration Risk under the Default Risk Charge Using Probability and Statistics Theory." Journal of Probability and Statistics 2022 (November 1, 2022): 1–12. http://dx.doi.org/10.1155/2022/3063505.

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In the Fundamental Review of the Trading Book (FRTB), the latest regulation for minimum capital market risk requirements, one of the major changes, is replacing the Incremental Risk Charge (IRC) with the Default Risk Charge (DRC). The DRC measures only the default and does not consider the migration rating risk. The second new change in this approach was that the DRC now includes equity assets, contrary to the IRC. This paper studies DRC modeling under the Internal Model Approach (IMA) and the regulator conditions that every DRC component must respect. The FRTB presents the DRC measurement as
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Slime, Badreddine, and Jaspreet Singh Sahni. "Modeling default risk charge (DRC) with intensity probability theory." AIMS Mathematics 10, no. 2 (2025): 2958–73. https://doi.org/10.3934/math.2025137.

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Bonollo, Michele, Luca Di Persio, and Luca Prezioso. "The Default Risk Charge approach to regulatory risk measurement processes." Dependence Modeling 6, no. 1 (2018): 309–30. http://dx.doi.org/10.1515/demo-2018-0018.

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AbstractIn the present paper we consider the Default Risk Charge (DRC) measure as an effective alternative to the Incremental Risk Charge (IRC) one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets issued by several financial agents. While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible because of
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Nagesh, Abhishek. "Fundamental Review of the Trading Book (FRTB): A Deep Dive into US, UK and EU Rulemaking and Implementation." Indian Journal of Economics and Finance 5, no. 1 (2025): 81–87. https://doi.org/10.54105/ijef.a2610.05010525.

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The Fundamental Review of the Trading Book (FRTB) is a comprehensive Basel III framework introduced to overhaul market risk capital requirements during the 2007–2009 financial crisis. The framework includes two main approaches for measuring market risk capital: a more risk-sensitive Internal Models Approach (IMA) for banks that obtain supervisory approval and a revised Standardised Approach (SA) that applies granular risk-weighted sensitivities for all banks. This framework has global significance, and its implementation is underway across major jurisdictions. However, the United States, Europ
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Abhishek, Nagesh. "Fundamental Review of the Trading Book (FRTB): A Deep Dive into US, UK and EU Rulemaking and Implementation." Indian Journal of Economics and Finance (IJEF) 5, no. 1 (2025): 81–87. https://doi.org/10.54105/ijef.A2610.05010525/.

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<strong>Abstract: </strong>The Fundamental Review of the Trading Book (FRTB) is a comprehensive Basel III framework introduced to overhaul market risk capital requirements during the 2007&ndash;2009 financial crisis. The framework includes two main approaches for measuring market risk capital: a more risk-sensitive Internal Models Approach (IMA) for banks that obtain supervisory approval and a revised Standardised Approach (SA) that applies granular risk-weighted sensitivities for all banks. This framework has global significance, and its implementation is underway across major jurisdictions.
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Abhishek, Nagesh. "Fundamental Review of the Trading Book (FRTB): A Deep Dive into US, UK and EU Rulemaking and Implementation." Indian Journal of Economics and Finance (IJEF) 5, no. 1 (2025): 81–87. https://doi.org/10.54105/ijef.A2610.05010525.

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<strong>Abstract: </strong>The Fundamental Review of the Trading Book (FRTB) is a comprehensive Basel III framework introduced to overhaul market risk capital requirements in the wake of the 2007&ndash; 2009 financial crisis. . The framework includes two main approaches for measuring market risk capital: a more risksensitive Internal Models Approach (IMA) for banks that obtain supervisory approval and a revised Standardized Approach (SA) that applies granular risk-weighted sensitivities for all banks. This framework has global significance and its implementation is underway across major jurisd
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Joseph, Angelo D. "Emerging Market Default Risk Charge Model." Journal of Risk and Financial Management 16, no. 3 (2023): 194. http://dx.doi.org/10.3390/jrfm16030194.

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In a default event, several obligors simultaneously experience financial difficulty in servicing their debt to the point where the entire market can experience a sudden yet significant jump to a credit default. To help protect lenders against a jump-to-default event, regulators require banks to hold capital equivalent to the default risk charge as a buffer against the losses they may incur. The Basel regulatory committee has articulated and set default risk modelling guidelines to improve comparability amongst banks and enable a consistent bank-wide default risk charge estimation. Emerging mar
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RODRIGUES, MATHEUS PIMENTEL, and ANDRE CURY MAIALY. "MEASURING DEFAULT RISK FOR A PORTFOLIO OF EQUITIES." International Journal of Theoretical and Applied Finance 22, no. 01 (2019): 1950012. http://dx.doi.org/10.1142/s0219024919500122.

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This work evaluates some changes proposed by the Basel Committee on Banking Supervision in regulating capital allocation in the trading book for equities following a company default. In the last decade, the committee designed some measures to account for the risk of a company default that the ten-day value-at-risk measure does not capture. The first and more conservative measure designed to capture the effect of defaults was the incremental risk charge. With time, this measure evolved into the default risk charge. We use a Merton model to compute the probability of default and compare this pro
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Wilkens, Sascha, and Mirela Predescu. "Default risk charge: modeling framework for the “Basel” risk measure." Journal of Risk 19, no. 4 (2017): 23–50. http://dx.doi.org/10.21314/jor.2017.358.

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Zhao, Yuetong, and Deqin Lin. "Prediction of Micro- and Small-Sized Enterprise Default Risk Based on a Logistic Model: Evidence from a Bank of China." Sustainability 15, no. 5 (2023): 4097. http://dx.doi.org/10.3390/su15054097.

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This study selected factors influencing the default risk of micro- and small-sized enterprises (MSEs) from the perspective of both financial and non-financial indicators and constructed an identification model of the influencing factors for the default risk of MSEs by logistic regression, using the data on loans borrowed by 2492 MSEs from a city commercial bank in Gansu Province as the sample. In addition, the robustness and prediction effect of the model were tested. The empirical results showed that the logistic model has good robustness and high predictive ability. The quick ratio, total as
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Dissertations / Theses on the topic "Default Risk Charge (DRC)"

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Prezioso, Luca. "Financial risk sources and optimal strategies in jump-diffusion frameworks." Doctoral thesis, Università degli studi di Trento, 2020. http://hdl.handle.net/11572/254880.

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An optimal dividend problem with investment opportunities, taking into consideration a source of strategic risk is being considered, as well as the effect of market frictions on the decision process of the financial entities. It concerns the problem of determining an optimal control of the dividend under debt constraints and investment opportunities in an economy with business cycles. It is assumed that the company is to be allowed to accept or reject investment opportunities arriving at random times with random sizes, by changing its outstanding indebtedness, which would impact its capital
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Rodrigues, Matheus Pimentel. "The effect of default risk on trading book capital requirements for public equities: an irc application for the Brazilian market." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/14015.

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Submitted by Matheus Pimentel Rodrigues (mth3u5@gmail.com) on 2015-09-14T12:04:09Z No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 bytes, checksum: e2e4830bacdedb9b50b9f80a8638df3f (MD5)<br>Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-14T16:30:12Z (GMT) No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 bytes, checksum: e2e4830bacdedb9b50b9f80a8638df3f (MD5)<br>Made available in DSpace on 2015-09-14T19:08:49Z (GMT). No. of bitstreams: 1 Dissertação_Matheus_Pimentel_Rodrigues.pdf: 17000006 byt
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Katona, Gabriella. "Procyclical nature of the proposed FRTB market risk capital regime." Thesis, Queensland University of Technology, 2022. https://eprints.qut.edu.au/230387/1/Gabriella_Katona_Thesis.pdf.

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The recent capital market shock events have drawn increased regulatory attention to the procyclical nature of the forthcoming Basel market risk regime, the Fundamental Review of Trading Book (FRTB). The overall objective of this research is to evaluate whether the quantitative improvements made in FRTB can mitigate the Basel market risk capital framework’s impact on business cycles. The research found no strong evidence that FRTB would reduce the overall procyclicality of the framework. This study also confirmed that banks can reduce their market risk charge via their modelling choices without
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Tillich, Daniel. "Bruchpunktschätzung bei der Ratingklassenbildung." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2013. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-130581.

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Ratingsysteme sind ein zentraler Bestandteil der Kreditrisikomodellierung. Neben der Bonitätsbeurteilung auf der Ebene der Kreditnehmer und der Risikoquantifizierung auf der Ebene der Ratingklassen spielt dabei die Bildung der Ratingklassen eine wesentliche Rolle. Die Literatur zur Ratingklassenbildung setzt auf modellfreie, in gewisser Weise willkürliche Optimierungsverfahren. Ein Ziel der vorliegenden Arbeit ist es, stattdessen ein parametrisches statistisches Modell zur Bildung der Ratingklassen einzuführen. Ein geeignetes Modell ist im Bereich der Bruchpunktschätzung zu finden. Dieses Mode
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Tillich, Daniel, and Christoph Lehmann. "Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222582.

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Objective: We consider the following problem from credit risk modeling: Our sample (Xi; Yi), 1 < i < n, consists of pairs of variables. The first variable Xi measures the creditworthiness of individual i. The second variable Yi is the default indicator of individual i. It has two states: Yi = 1 indicates a default, Yi = 0 a non-default. A default occurs, if individual i cannot meet its contractual credit obligations, i. e. it cannot pay back its outstandings regularly. In afirst step, our objective is to estimate the threshold between good and bad creditworthiness in the sense of dividing th
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Dhima, Julien. "Evolution des méthodes de gestion des risques dans les banques sous la réglementation de Bale III : une étude sur les stress tests macro-prudentiels en Europe." Thesis, Paris 1, 2019. http://www.theses.fr/2019PA01E042/document.

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Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’
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Chou, Yen-tong, and 周晏彤. "A comparison of the default risk between the credit loans certified by external accountant and those reported in taxes form:An example from fourteen branch banks in charge of medium and small business loans." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/43871817441069905166.

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碩士<br>國立高雄第一科技大學<br>風險管理與保險研究所<br>100<br>This study aims to explore the empirical experiences on the related influential factors of credit default risk on finance and tax compliance provided by national banks to the middle and small-sized enterprises. The data were collected from one of the domestic commercial banks and the samplings were accumulated from March 2006 to March 2007. There are files from five seasons for credit reference and establishing criteria for credit. From a total of 4760 cases of conforming loans, 3707 were normal interest receivable cases which is about 78%, and 1053 wer
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Books on the topic "Default Risk Charge (DRC)"

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Simon, Gleeson. Part III Investment Banking, 13 Trading Book—Standardized Approaches. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0013.

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This chapter discusses trading book models. Risk models come in a variety of types. However, for market risk purposes there have been a number of types which may be used within the framework. The simplest is the ‘CAD 1’ model — named after the first Capital Adequacy Directive, which permitted such models to be used in the calculation of regulatory capital. VaR models, permitted by Basel 2, were more complex, and this complexity was increased by Basel 2.5, which required the use of ‘stressed VAR’. In due course all of this will be replaced by the Basel 3 FRTB calculation, which rejects VAR and
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