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IRC and CRM: Modelling Framework for the ‘Basel 2.5’ Risk Measures |
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| Authors: | Sascha Wilkens Jean‐Baptiste Brunac Vladimir Chorniy |
| Institution: | BNP Paribas, Risk Methodology and Analytics, , London, UK |
| Abstract: | |
| Keywords: | incremental risk IRC comprehensive risk CRM basel 2 5 |