rahul.goyl
Member
Hi David,
Could you point out what are the major limitation of LDA.
I can understand the major limitation would >>
Estimating the dependencies between cells. Could you also briefly explain which copula function they use.
Generating Tail Losses
How it can be improved to capture the impact of Market & Credit risk on firm.
As I see the Operational risk increases (Some Correlation) with your Market & Credit Risk. How LDA can be improved to capture such granularity which Basel don't want to do but still for understanding.
Regards,
Rahul
Could you point out what are the major limitation of LDA.
I can understand the major limitation would >>
Estimating the dependencies between cells. Could you also briefly explain which copula function they use.
Generating Tail Losses
How it can be improved to capture the impact of Market & Credit risk on firm.
As I see the Operational risk increases (Some Correlation) with your Market & Credit Risk. How LDA can be improved to capture such granularity which Basel don't want to do but still for understanding.
Regards,
Rahul
