文章基本信息

标题：The Default Risk Charge approach to regulatory risk measurement processes
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作者：Michele Bonollo ; Luca Di Persio ; Luca Prezioso 等
期刊名称：Dependence Modeling
电子版ISSN：2300-2298
出版年度：2018
卷号：6
期号：1
页码：309-330
DOI：10.1515/demo-2018-0018
出版社：Walter de Gruyter GmbH
摘要：In 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 both the new regulation and to the high speed - low cost technology available nowadays. Concrete algorithms and numerical examples are provided to illustrate the effectiveness of the proposed techniques..
关键词：Default Risk Charge ; Incremental Risk Charge ; Quasi Exhaustive;Heuristic Algorithms ; 91G40 ; 91G60 ; 91B70 ; 65C20 ; 60H30 ; 60H35