PRMIA Presentation on Incremental Risk Charge
On 9 December 2008, the Luxembourg Chapter of PRMIA (the Professional Risk Managers International Association) invited avantage Reply to make a presentation on the issue of the Incremental Risk Charge (IRC)
The presentation by Martin Clark (Partner, avantage Reply), provided an overview of the capital charge for incremental risk in the trading book and the principles and models for calculating the IRC. He also highlighted the possible impacts of this requirement, which represents a fundamental change and not simply a revision of the Trading Book Capital requirements.
You can download a copy of the presentation here. You may also be interested in our practice note on this topic.
