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

Barreira, Raquel, Pryer, Tristan and Tang, Qi (2009) A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework. Journal of Applied Economic Sciences, 4 (4). pp. 483-493. ISSN 1834-6110

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Abstract

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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Depositing User: Raquel Barreira
Date Deposited: 06 Feb 2012 20:06
Last Modified: 03 Nov 2012 17:31
URI: http://sro.sussex.ac.uk/id/eprint/24082
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