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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 TangIn 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.
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Publication status
- Published
Journal
Journal of Applied Economic SciencesISSN
1834-6110Issue
4Volume
4Page range
483-493Department affiliated with
- Mathematics Publications
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- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-02-06Usage metrics
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