IRC and CRM: Modelling Framework for the ‘Basel 2.5’ Risk Measures
提出了增量风险费用（IRC）和综合风险度量（CRM）的建模框架，用于计算银行交易账户的市场风险资本要求，并讨论了风险因子模型、模拟损失分布及实现问题。
Abstract This paper presents a modelling framework for the Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM) as the new capital requirements for market risks in a bank's trading book (‘Basel 2.5’). Both are Value‐at‐Risk‐type measures projecting losses over a one‐year capital horizon at a 99.9% confidence level and are applicable to credit flow and credit correlation instruments, respectively. With no consensus on industry standards for suitable internal models as yet, the article discusses selected risk factor models to derive simulation‐based loss distributions and the associated risk figures. Example calculations and implementation aspects complement the discussion.