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Fast Approximation of Loan Portfolio Loss

In: GLOBAL CREDIT REVIEW

Author

Listed:
  • Jenny Bai
  • Heikki Seppälä
  • Ser-Huang Poon

Abstract

The following sections are included:INTRODUCTIONCLOSED FORM METHODOLOGY FOR ECONOMIC CAPITAL CALCULATIONRISK FACTORS EXTRACTIONEXAMPLE: LOAN PORTFOLIO VaRCONCLUSIONNOTESAPPENDIX A. PYKHTIN'S CLOSED FORM FORMULAREFERENCES

Suggested Citation

  • Jenny Bai & Heikki Seppälä & Ser-Huang Poon, 2014. "Fast Approximation of Loan Portfolio Loss," World Scientific Book Chapters, in: Risk Management Institute (ed.), GLOBAL CREDIT REVIEW, chapter 4, pages 67-85, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814635486_0004
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