Browsing by Subject "Loss distribution approaches (LDAs)"

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Combining scenario and historical data in the loss distribution approach: a new procedure that incorporates measures of agreement between scenarios and historical data

De Jongh, P.J.; De Wet, T.; Raubenheimer, H.; Venter, J.H. (Infopro Digital Risk Limited, 2015)

Many banks use the loss distribution approach in their advanced measurement models to estimate regulatory or economic capital. This boils down to estimating the 99.9% value-at-risk of the aggregate loss distribution and ...