A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework | Zendy

Raquel Barreira | Zendy; Tristan Pryer | Zendy; Qi Tang | Zendy

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A Practical Approach to Model Banking Risks Using Loss Distribution Approach (LDA) in Basel II Framework

Author(s) -

Raquel Barreira,

Tristan Pryer,

Qi Tang

Publication year - 2009

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.1503353

Subject(s) - operational risk , basel ii , econometrics , distribution (mathematics) , economics , actuarial science , business , capital requirement , mathematics , risk management , finance , microeconomics , mathematical analysis , incentive

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. 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.

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