shebrahimi
New Member
The capital requirement is defined as follows:
max(VaR_{t-1},m_c*Var_{avg})+SRC
SRC is a specific risk charge. I would appreciate if you could let me know how to calculate specific risk charge?
Thanks in advance.
max(VaR_{t-1},m_c*Var_{avg})+SRC
SRC is a specific risk charge. I would appreciate if you could let me know how to calculate specific risk charge?
Thanks in advance.