Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology
AbstractThis paper presents three possible methods by which the credit value at risk estimates coming from the Basel II IRB approach can be significantly improved upon. The feasibility of the suggested approaches is substantiated by applying it to an exemplary model portfolio.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Stability.
Volume (Year): 5 (2009)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/jfstabil
Credit value at risk Basel II Moment matching Fourier transform Edgeworth expansion;
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