A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework

Detalhes bibliográficos
Autor(a) principal: Barreira, Raquel
Data de Publicação: 2009
Outros Autores: Pryer, Tristan, Tang, Qi
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.26/22224
Resumo: 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. [3]). 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.
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spelling A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II frameworkIn 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. [3]). 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.Repositório ComumBarreira, RaquelPryer, TristanTang, Qi2018-04-09T13:56:28Z20092009-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.26/22224engBarreira, R. Pryer, T. Tang, Q. (2009). A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework. Journal of Applied Economic Sciences, 4(10). doi: 10.2139/ssrn.15033531843-611010.2139/ssrn.1503353info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-21T09:53:42Zoai:comum.rcaap.pt:10400.26/22224Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T23:09:37.214381Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
title A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
spellingShingle A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
Barreira, Raquel
title_short A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
title_full A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
title_fullStr A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
title_full_unstemmed A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
title_sort A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
author Barreira, Raquel
author_facet Barreira, Raquel
Pryer, Tristan
Tang, Qi
author_role author
author2 Pryer, Tristan
Tang, Qi
author2_role author
author
dc.contributor.none.fl_str_mv Repositório Comum
dc.contributor.author.fl_str_mv Barreira, Raquel
Pryer, Tristan
Tang, Qi
description 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. [3]). 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.
publishDate 2009
dc.date.none.fl_str_mv 2009
2009-01-01T00:00:00Z
2018-04-09T13:56:28Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.26/22224
url http://hdl.handle.net/10400.26/22224
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Barreira, R. Pryer, T. Tang, Q. (2009). A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework. Journal of Applied Economic Sciences, 4(10). doi: 10.2139/ssrn.1503353
1843-6110
10.2139/ssrn.1503353
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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