A Discussion of Alternative Approaches to Calculating the ICA
Document ID: 2005-793 (previously 2005/007)
Published on: 1st March 2005
Author: Craig Turnbull, Craig McCulloch
This note discusses some of the methods that have been used over the last year in assessing the market risk component of the ICA, the relative merits of those methods, and their ability to provide a framework that can add value to a firm’s management processes, rather than simply providing an ICA number.
