A PRACTICAL APPROACH TO MODEL BANKING RISKS USING LOSS DISTRIBUTION APPROACH (LDA) IN BASEL II FRAMEWORK

Raquel Barreira, Tristan Pryer and Qi Tang

Journal of Applied Economic Sciences, 2009, vol. 4, issue 4(10)_Winter2009, 483-493

Abstract: 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.

Keywords: loss distribution approach; corporate risk; Basel II principles (search for similar items in EconPapers)
JEL-codes: C P (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.jaes.reprograph.ro/articles/winter2009/BarreiraR_PryerT_TangQ.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:4:y:2009:i:4(10)_winter2009:p:81

Access Statistics for this article

Journal of Applied Economic Sciences is currently edited by Laura Stefanescu

More articles in Journal of Applied Economic Sciences from Spiru Haret University, Faculty of Financial Management and Accounting Craiova Contact information at EDIRC.
Bibliographic data for series maintained by Laura Stefanescu ().