4. Modelling a constant level of risk over the one-year capital horizon may be achieved, for …

Modelling a constant level of risk over the one-year capital horizon may be achieved, for example, on the basis of the approach outlined hereafter. With respect to calculating losses over liquidity horizons, an institution may choose to assume that instantaneous shocks are applied to ratings (or spreads). This implies that, in this case, the institution does not have to integrate the time effect: positions keep their original residual maturities at the end of each liquidity horizon; in other words, there is no ageing of positions. Furthermore, there is no need to consider potential changes in market conditions when revaluating the portfolio at the time of rebalancing (in particular, credit spreads by rating can be kept constant). As a result, measurement of losses within IRC does not take into account the timing of each migration or default event, and the P&L is computed as of today.

1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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