Approximate Value-at-Risk Calculation for Heterogeneous Loan Portfolios: Possible Enhancements of the Basel {II} Methodology
Puzanova Natalia, Siddiqui Sikandar, Trede Mark
Publication type
Research article (journal)
Peer reviewed
Yes
Publication status
Published
Year
2009
Journal
Journal of Financial Stability
Volume
5
Issue
4
Pages range
374--392
Language
English
ISSN
1572-3089
DOI