A practical approach to model banking risks using loss distribution approach (LDA) in basel II framework

Raquel Barreira, Tristan Pryer, Qi Tang

Research output: Contribution to journalArticlepeer-review

1 Citation (SciVal)

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.

Original languageEnglish
Pages (from-to)483-493
Number of pages11
JournalJournal of Applied Economic Sciences
Volume4
Issue number4
Publication statusPublished - 31 Dec 2009

Keywords

  • Basel II principles
  • Corporate risk
  • Loss distribution approach

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics, Econometrics and Finance(all)

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