A simulation study of basel II expected loss distributions for a portfolio of credit cards

Keyphrases

• Basel II 100%
• Conditional Value at Risk 50%
• Credit Application 50%
• Credit Card 100%
• Credit Risk 50%
• Credit Scoring Model 50%
• Expected Loss 100%
• Exposure at Default 50%
• Loss Distribution 100%
• Loss Given Default 50%
• Model Estimation 50%
• Probability of Default 100%
• Risk Elements 100%
• Simulation Approach 50%
• Simulation Study 100%
• Uncertainty Estimation 50%

Mathematics

• Credit Card 100%
• Credit Risk 50%
• Loss Distribution 100%
• Loss Given Default 50%
• Probability Theory 100%
• Scoring Model 50%
• Simulation Study 100%
• Value at Risk 50%

Economics, Econometrics and Finance

• Credit Card 100%
• Credit Rating 50%