Rodríguez Dupuy, Analía
(2007):
*Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations.*

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## Abstract

This paper analyzes the measurement of credit risk capital requirements under the new Basel Accord (Basel II): the Internal Rating Based approach (IRB). It focuses in the analytical formula for its calculation, since its derivation to the main assumptions behind it. We also estimate the credit loss distribution for the Uruguayan portfolio in the period 1999-2006, using a non parametric technique, the bootstrap. Its main advantage is that we don’t need to make any assumptions about the form of the distribution. Finally, we compare the requirements obtained using the IRB with the estimated ones, as an approximation of the application of the IRB in the Uruguayan financial system.

Item Type: | MPRA Paper |
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Original Title: | Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations |

Language: | English |

Keywords: | Basel II - Bootstrap - Credit loss distribution |

Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages |

Item ID: | 10697 |

Depositing User: | Analía Rodríguez |

Date Deposited: | 23 Sep 2008 06:41 |

Last Modified: | 26 Sep 2019 08:08 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/10697 |