Assignment:
In March 2009, the Basel Committee published the consultative document "Guidelines for computing capital for incremental risk in the trading book." The incremental risk charge (IRC) defined in that document aims to complement additional standards being applied to the value-at-risk modeling framework which address a number of perceived shortcomings in the 99%/10-day VaR framework. Which of the following statements about the IRC is/are correct?
I. For all IRC-covered positions, a bank's IRC model must measure losses due to default and migration over a one-year capital horizon at a 99% confidence level.
II. A bank must calculate the IRC measure at least weekly, or more frequently as directed by its supervisor.
a. Statement I only
b. Statement II only
c. Both statements are correct
d. Both statements are incorrect