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A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework

journal contribution
posted on 2023-06-08, 05:00 authored by Raquel Barreira, Tristan Pryer, Qi Tang
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. 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.

History

Publication status

  • Published

Journal

Journal of Applied Economic Sciences

ISSN

1834-6110

Issue

4

Volume

4

Page range

483-493

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-02-06

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