Fast Approximation of Loan Portfolio Loss

Jenny Bai, Heikki Seppälä and Ser-Huang Poon

Chapter 4 in Global Credit Review:Volume 4, 2014, pp 67-85 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:INTRODUCTIONCLOSED FORM METHODOLOGY FOR ECONOMIC CAPITAL CALCULATIONRISK FACTORS EXTRACTIONEXAMPLE: LOAN PORTFOLIO VaRCONCLUSIONNOTESAPPENDIX A. PYKHTIN'S CLOSED FORM FORMULAREFERENCES

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets (search for similar items in EconPapers)
Date: 2014
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