AssessingAlternativeAssumptionsonDefaultRiskCapitalinthe.docVIP

Assessing Alternative Assumptions on Default Risk Capital in the Trading Book December 12, 2006 Gary Dunn: UK Financial Services Authority Michael Gibson: Federal Reserve Board Gloria Ikosi: Federal Deposit Insurance Corporation Jonathan Jones: Office of Thrift Supervision Charles Monet: US Securities and Exchange Commission Michael Sullivan: Office of the Comptroller of the Currency I. Objective In this paper, we illustrate the range of potential default losses for trading books across a range of possible assumptions. These results are also compared with A-IRB capital requirements. The inte