Fast Approximation of Loan Portfolio Loss

Jenny Bai (), Heikki Seppälä () and Ser-Huang Poon ()
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Jenny Bai: Risk Management Institute (RMI), National University of Singapore, Singapore
Heikki Seppälä: Department of Mathematics and Statistics, University of Jyväskylä, Finland
Ser-Huang Poon: Manchester Business School, University of Manchester, UK

Global Credit Review (GCR), 2014, vol. 04, issue 01, 67-85

Abstract: No abstract received.

Keywords: Risk factor extraction; economic capital; value at risk; expected shortfall; multi-factor adjustment (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1142/S2010493614500044

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