THE STEERING TOOL OF FINANCIAL INSTITUTIONS: CREDIT VAR (VALUE AT RISK)

Barbulescu Marinela, Alina Hagiu and Vasilica Radu
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Barbulescu Marinela: UNIVERSITY OF PITESTI, PITESTI, ROMANIA
Vasilica Radu: UNIVERSITY OF PITESTI, PITESTI, ROMANIA

Annals - Economy Series, 2015, vol. 2, 70-75

Abstract: In order to determine the economic capital, in terms of internal management or of application of regulations, financial institutions need to model the probability of future losses on a loan portfolio. This is generally made applying the Credit VaR method. Thus, unexpected losses can be assessed.

Keywords: value at risc; economic capital; market risc; credit portofolio. (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2015:v:2:p:70-75

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