Publication
A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework
| dc.contributor.author | Barreira, Raquel | |
| dc.contributor.author | Pryer, Tristan | |
| dc.contributor.author | Tang, Qi | |
| dc.date.accessioned | 2018-04-09T13:56:28Z | |
| dc.date.available | 2018-04-09T13:56:28Z | |
| dc.date.issued | 2009 | |
| dc.description.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 (cf. [3]). 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Barreira, R. Pryer, T. Tang, Q. (2009). A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework. Journal of Applied Economic Sciences, 4(10). doi: 10.2139/ssrn.1503353 | pt_PT |
| dc.identifier.doi | 10.2139/ssrn.1503353 | pt_PT |
| dc.identifier.issn | 1843-6110 | |
| dc.identifier.uri | http://hdl.handle.net/10400.26/22224 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.title | A practical approach to model banking risks using Loss Distribution Approach (LDA) in Basel II framework | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.title | Journal of Applied Economic Sciences | pt_PT |
| person.familyName | Barreira | |
| person.givenName | Raquel | |
| person.identifier.ciencia-id | 011B-AC27-378A | |
| person.identifier.orcid | 0000-0002-8326-1593 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |
| relation.isAuthorOfPublication | 11adc260-5103-4d3a-887f-6ae77108f173 | |
| relation.isAuthorOfPublication.latestForDiscovery | 11adc260-5103-4d3a-887f-6ae77108f173 |