Incremental default risk

Incremental default risk (IDR)

Default risk incremental to what is calculated through the Value-at-risk model, which often does not adequately capture the risk associated with illiquid products.

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The revised regime, which applies internationally, will improve this by including incremental default risk, the risk, calculated over a certain period, that debt bought by banks might lose its market value.

BANKING : SENIOR BANKER WARNS AGAINST EXCESS CAPITAL RULES

We will be widening the incremental default risk charge for largely illiquid trading book positions, which has already been enshrined in the new Basel rulebook, to include migration.

Swallowing the national toad: Germany's top regulator says it's time the industrialized world swallow its pride and implement some aggressive regulatory reforms

If total bivariate risk exposure is substantial, then the portfolio will be analyzed using Standard & Poor's multi-jurisdictional default model, which assesses the incremental default risk these assets introduce.

CDO transactions structural basics

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