A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework
نویسندگان
چکیده
منابع مشابه
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 so...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1503353