Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology

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.

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Year of publication:	2009
Authors:	Puzanova, Natalia ; Siddiqui, Sikandar ; Trede, Mark
Published in:	Journal of Financial Stability. - Elsevier, ISSN 1572-3089. - Vol. 5.2009, 4, p. 374-392
Publisher:	Elsevier
Keywords:	Credit value at risk Basel II Moment matching Fourier transform Edgeworth expansion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008483443