Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology

Natalia Puzanova, Sikandar Siddiqui and Mark Trede ()
Authors registered in the RePEc Author Service: Natalia Tente

Journal of Financial Stability, 2009, vol. 5, issue 4, 374-392

Abstract: This paper presents three possible methods by which the credit value at risk estimates coming from the Basel II IRB approach can be significantly improved upon. The feasibility of the suggested approaches is substantiated by applying it to an exemplary model portfolio.

Keywords: Credit; value; at; risk; Basel; II; Moment; matching; Fourier; transform; Edgeworth; expansion (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:5:y:2009:i:4:p:374-392

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