main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subject of greater …

regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key … ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …

that banks experienced between 2008 and 2012. Our historical loss approach better reflects patterns of community bank …

have received accreditation under the Basel II Advanced Measurement Approach (AMA) by adopting the loss distribution …