Today we are presenting the standard approach for the calculation of the credit spread risk within the ICAAP. It is derived from the BIS standards for the measurements of market risks in the trading book.

Please let us know whether the results of the example porfolio within this paper meet your observations in practise.

We are looking forward to receiving your feedback! Please send your questions and suggestions to Patrick Haas at haas[at]financetrainer.com.

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