The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
Bernd Engelmann & Robert Rauhmeier
The Basel II Risk Parameters
Estimation, Validation, Stress Testing – with Applications to Loan Risk Management
The Basel II Risk Parameters
Estimation, Validation, Stress Testing – with Applications to Loan Risk Management
Dil İngilizce ● Biçim PDF ● Sayfalar 426 ● ISBN 9783642161148 ● Dosya boyutu 6.2 MB ● Editör Bernd Engelmann & Robert Rauhmeier ● Yayımcı Springer Berlin ● Kent Heidelberg ● Ülke DE ● Yayınlanan 2011 ● Baskı 2 ● İndirilebilir 24 aylar ● Döviz EUR ● Kimlik 2172254 ● Kopya koruma Sosyal DRM