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A Practical Approach To Model Banking Risks Using Loss Distribution Approach (Lda) In Basel Ii Framework

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  • Raquel BARREIRA
  • Tristan PRYER
  • Qi TANG
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    Abstract

    In Basel II Capital Accord, the Advanced Measurement Approaches (AMA) is stated as one of the pillar stone methods for calculating corporate risk reserves. One of the common yet cumbersome methods is the one known as loss distribution approach (cf. [Chernobai A S, Rachev S T and Fabozzi F J, (2007)]. In this article, we present an easy to implement scheme through electronic means and discuss some of the mathematical problems we encountered in the process together with proposed solution methods and further sought on the issues.

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    File URL: http://www.jaes.reprograph.ro/articles/winter2009/BarreiraR_PryerT_TangQ.pdf
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    Bibliographic Info

    Article provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.

    Volume (Year): 4 (2009)
    Issue (Month): 4(10)_Winter2009 ()
    Pages: 483-493

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    Handle: RePEc:ush:jaessh:v:4:y:2009:i:4(10)_winter2009:p:81

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    Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
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    Related research

    Keywords: loss distribution approach; corporate risk; Basel II principles;

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