I am a little curious to know, if there are patents being filed by financial institutions. I have seen patents being filed by Google, etc. in the field of computer science, do we have something similar in finance?

The concept of incremental risk charge is relatively new in the banking sector. I do see some references in the literature but not sure if they are peer-reviewed. Any standard references for implementing IRC, that complies with the regulations will be helpful. Thanks.

Thanks Anthis. That was helpful.

<t>There are a few references in the literature that discusses about calculating Var for illiquid portfolios. The main issue is that the MTM value for such products do not change daily. Which are the most popular industry methods to calculate VaR in such cases? Any standard references will be helpfu...