About this document
Economic Capital and Credit Risk Modeling by Pom Jung is a document available to read on EtoBox.
Economic capital is a multiple of unexpected loss. The credit loss distribution is often modeled using a beta distribution, which is flexible and can model losses between 0-100%. Challenges to quantifying credit risk include only using a one-year time horizon and assuming risks are separated between credit, market, and operational risks.
- Author
- Pom Jung
- Language
- EN