Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology
Abstract
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.
Keywords
Credit value at risk Basel II Moment matching Fourier transform Edgeworth expansion series expansions cumulants history
Cite as
Puzanova, N., Siddiqui, S., & Trede, M. (2009). Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology. Journal of Financial Stability, 5(4), 374–392.Details
Publication type
Research article (journal)
Peer reviewed
Yes
Publication status
Published
Year
2009
Journal
Journal of Financial Stability
Volume
5
Issue
4
Start page
374
End page
392
Language
English
ISSN
1572-3089
DOI