BARREIRA, Raquel; PRYER, Tristan; TANG, Qi - In: Journal of Applied Economic Sciences 4 (2009) 4(10)_Winter2009, pp. 483-493
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. [Chernobai A S, Rachev S T and Fabozzi F J,...
