THE STEERING TOOL OF FINANCIAL INSTITUTIONS: CREDIT VAR (VALUE AT RISK)

THE STEERING TOOL OF FINANCIAL INSTITUTIONS: CREDIT VAR (VALUE AT RISK)

In order to determine the economic capital, in terms of internal management or of application of regulations, financial institutions need to model the probability of future losses on a loan portfolio. This is generally made applying the Credit VaR method. Thus, unexpected losses can be assessed.

Bibliographic Details
Main Authors: BĂRBULESCU MARINELA, HAGIU ALINA, VASILICĂ RADU
Format: Article
Language:English
Published: Academica Brâncuşi 2015-04-01
Series:Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
Subjects:
value at risc
economic capital
market risc
credit portofolio.
Online Access:http://www.utgjiu.ro/revista/ec/pdf/2015-02/10_Barbulescu.pdf
Description
Summary:In order to determine the economic capital, in terms of internal management or of application of regulations, financial institutions need to model the probability of future losses on a loan portfolio. This is generally made applying the Credit VaR method. Thus, unexpected losses can be assessed.
ISSN:1844-7007
1844-7007

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