Hello,
There is a lot of vocabulary about the market risk charges but I have not seen a formula that incorporates all of it.
One is the max of yesterdays VaR or the ave VaR *K plus a specific risk factor. (p 86) This was original Basel II.
Another (from the revision to Basel II) is the VaR plus the stressed VaR (both subejct to the max of yesterday or K * an average, p 106) but then there are the incremental risk charge and the comprehensive risk charge, neither of which are really explained anywhere.
I guess what I am trying to ask is: what is the relationship between the comprehensive, specific and incremental charges?
Thanks!
Shannon
There is a lot of vocabulary about the market risk charges but I have not seen a formula that incorporates all of it.
One is the max of yesterdays VaR or the ave VaR *K plus a specific risk factor. (p 86) This was original Basel II.
Another (from the revision to Basel II) is the VaR plus the stressed VaR (both subejct to the max of yesterday or K * an average, p 106) but then there are the incremental risk charge and the comprehensive risk charge, neither of which are really explained anywhere.
I guess what I am trying to ask is: what is the relationship between the comprehensive, specific and incremental charges?
Thanks!
Shannon
