Detailansicht
The Basel II Risk Parameters
eBook - Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
ISBN/EAN: 9783642161148
Umbreit-Nr.: 1707775
Sprache:
Englisch
Umfang: 426 S., 6.38 MB
Format in cm:
Einband:
Keine Angabe
Erschienen am 31.03.2011
Auflage: 2/2011
E-Book
Format: PDF
DRM: Digitales Wasserzeichen
- Zusatztext
- <p>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.</p>
- Kurztext
- The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) all play important roles on banking practice. This volume presents up-to-date designing and validating rating systems and default probability estimations.