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 19992006, 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 

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.unimuenchen.de/id/eprint/10697 