Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1000298 | Journal of Financial Stability | 2009 | 19 Pages |
Abstract
This paper presents three possible methods by which the credit value at risk estimates coming from the Basel II IRB approach can be significantly improved upon. The feasibility of the suggested approaches is substantiated by applying it to an exemplary model portfolio.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics, Econometrics and Finance (General)
Authors
Natalia Puzanova, Sikandar Siddiqui, Mark Trede,