basel 2.5

  1. Nicole Seaman

    P2.T7.520. Basel 2.5 with stressed VaR, IRC and CRM (Hull)

    Learning outcomes: Describe and calculate the stressed value-at-risk measure introduced in Basel 2.5, and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk...
    • Nicole Seaman
    • Thread
    • basel 2.5 comprehensive-risk-capital-charge crm incremental-risk-charge irc market-risk-capital-charge stressed-var trading-book
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    • Forum: FRM® Practice Questions
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