A Value-At-Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios

DOI10.1080/10920277.1999.10595802MaRDI QIDQ5718364zbMATH OpenOpenAlexFDO

Authors Ronan B. O'Connor, James F. Golden, Robert Reck

Publication date 13 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.1999.10595802

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Statistical methods; risk measures (91G70)

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(1)

• Credit risk and solvency capital requirements

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