Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this articleFast Approximation of Loan Portfolio Loss
Author
Abstract
Suggested Citation
DOI: 10.1142/S2010493614500044
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Martin Hibbeln, 2010. "Risk Management in Credit Portfolios," Contributions to Economics, Springer, number 978-3-7908-2607-4, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Osmundsen, Kjartan Kloster, 2018. "Using expected shortfall for credit risk regulation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 80-93.
- Osmundsen, Kjartan Kloster, 2017. "Using Expected Shortfall for Credit Risk Regulation," UiS Working Papers in Economics and Finance 2017/4, University of Stavanger.
- Michal Kováč, 2018. "Comparison of stress testing models for regulatory purposes by institutions using the IRBA method [Porovnání stres test modelů pro regulatorní účely institucí využívajících IRBA metodu]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(3), pages 41-56.
- Morone, Marco & Cornaglia, Anna & Mignola, Giulio, 2012. "Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach," MPRA Paper 39119, University Library of Munich, Germany.
- Eris Zeqo & Lindita Mukli & Jona Mulliri, 2016. "The Impact of Seasonality on the Implementation of Value at Risk (VaR) Models for Predicting Future Non Profit Loans (NPL) Values in Albania," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 5, December.
More about this item
Keywords
Risk factor extraction; economic capital; value at risk; expected shortfall; multi-factor adjustment;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:gcrxxx:v:04:y:2014:i:01:n:s2010493614500044. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/gcr/gcr.shtml .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.