internationally active banks and other financial institutions. The OR is the unexpected loss, which is the difference between the 99 …:9 per cent quantile and the mean of the loss distribution. This paper adapts non-parametric methods based on heavy … nonparametric methods is that there are no assumptions made about the shape of loss distributions and that data determines their …

/III Accords. Most of these institutions use the Loss Distribution Approach (LDA) which defines the aggregate loss distribution as …, respectively. Capital is a Value-at-Risk estimate of this annual loss distribution (i.e. the quantile corresponding to the 99 ….9%tile, representing a one-in-a-thousand-year loss, on average). In practice, the severity distribution drives the capital …

integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss …