IMA Desk Approval
- Stressed ES (SES) Calculation
Default Risk Charge (DRC) Calculation
Multiplication factor Mc
Regulatory and internal model validation services from CompatibL
- Idiosyncratic (unsystematic) credit spread risk factors reffer to risk factors that affect only particular assets.
- For non-modellable risk factors arising from idiosyncratic credit spread risk, banks may apply the same stress scenario observations
- Zero correlation assumption may be made when aggregating gains and losses