Approximate Value-at-Risk Calculation for Heterogeneous Loan Portfolios: Possible Enhancements of the Basel {II} Methodology

Puzanova Natalia, Siddiqui Sikandar, Trede Mark

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
https://doi.org/10.1016/j.jfs.2009.02.003