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.
References in periodicals archive
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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.
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.
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.
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