Guidelines on the Incremental Default and Migration Risk Charge (IRC)

  • Status: Final and translated into the EU official languages

These Guidelines include provisions on the IRC modelling approaches employed by credit institutions using the Internal Model Approach (‘IMA’) for the calculation of the required capital for specific interest risk in the trading book. The incremental risk charge is intended to complement additional standards being applied to the value-at-risk (VaR) modelling framework in the trading book. These Guidelines are seen as an important means of addressing weaknesses in the regulatory capital framework and in the risk management of financial institutions.

Summary of document history

Previous versions Current version Ongoing versions

Consultation paper on guidelines to the Incremental Default and Migration Risk Charge (IRC)

  • Status: Closed
  • Deadline: 15 JANUARY 2012
Documents
UniCredit

(141.64 KB - PDF) Last update 28 February 2014

Consultation Paper

(484.83 KB - PDF) Last update 28 February 2014

Deutsche Bank

(162.44 KB - PDF) Last update 28 February 2014

Associazione Bancaria Italiana (ABI)

(28.13 KB - PDF) Last update 28 February 2014

Die Deutsche Kreditwirtschaft

(183.28 KB - PDF) Last update 28 February 2014

Barclays Capital

(1.28 MB - PDF) Last update 28 February 2014

ING

(19.61 KB - PDF) Last update 28 February 2014

Credit Agricole

(135.94 KB - PDF) Last update 28 February 2014

ISDA - AFME (Cover Letter)

(217.34 KB - PDF) Last update 28 February 2014

Svenska Bankforeningen

(1.18 MB - PDF) Last update 28 February 2014

ISDA - AFME

(155.68 KB - PDF) Last update 28 February 2014

Federation Bancaire Francaise

(3.31 MB - PDF) Last update 28 February 2014

Public hearings

Public hearing on CP on draft Guidelines on the Incremental Default and Migration Risk Charge (IRC)

Registration form

(62.76 KB - Word Document) Last update 20 February 2014

Press contacts

Franca Rosa Congiu