Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology
Puzanova Natalia, Siddiqui Sikandar, Trede Mark
Zusammenfassung
This paper presents three possible methods by which the credit value at risk estimates coming from the Basel II IRB approach can be significantly improved upon. The feasibility of the suggested approaches is substantiated by applying it to an exemplary model portfolio. (C) 2009 Elsevier B.V. All rights reserved.
Schlüsselwörter
Credit value at risk Basel II Moment matching Fourier transform Edgeworth expansion series expansions cumulants history
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2009
Fachzeitschrift
Journal of Financial Stability
Band
5
Ausgabe
4
Erste Seite
374
Letzte Seite
392
Sprache
Englisch
ISSN
1572-3089
DOI