A Practical Approach To Model Banking Risks Using Loss Distribution Approach (Lda) In Basel Ii Framework
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.
Volume (Year): 4 (2009)
Issue (Month): 4(10)_Winter2009 ()
|Contact details of provider:|| Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ush:jaessh:v:4:y:2009:i:4(10)_winter2009:p:81. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Stefanescu)
If references are entirely missing, you can add them using this form.