Loss Distribution Approach in Practice

This paper follows the different steps necessary for implementing a LDA in practice: - Step 1: Severity Estimation - Step 2: Frequency Estimation - Step 3: Capital Charge Computations - Step 4: Confidence Interval - Step 5: Self Assessment and Scenario Analysis For each of these steps, we try to give illustrative examples and we gather all demanding mathematics into subsections named Technical Appendix. We hope it will allow for a more reader-friendly paper

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Year of publication:	[2007]
Authors:	Frachot, Antoine
Other Persons:	Moudoulaud, Olivier (contributor) ; Roncalli, Thierry (contributor)
Publisher:	[2007]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Notes:	In: The Basel Handbook: A Guide for Financial Practitioners, edited by Micheal Ong, Risk Books, 2004
Classification:	G00 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012775577