The Basel II Risk Parameters: Estimation, Validation, and Stress Testing - Softcover

Softcover

ISBN 10: 3642069622 ISBN 13: 9783642069628

Verlag: Springer, 2009

Über diesen Titel

Críticas:

From the reviews: "This book compiles articles by various authors addressing estimation of three key risk parameters: probability of default (PD), loss given default (LGD), and exposure at default (EAD). ... The authors identify their intended audience as risk managers and quantitative risk or ratings analysts working on credit risk and regulatory issues. These groups likely will find this book an accessible reference ... . The exposition related to regulatory issues is quite good and worthwhile for all." (Keith Heyen, Journal of the American Statistical Association, Vol. 103 (483), September, 2008)

Reseña del editor:

A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.

Über diese Auflage

• Verlag: Springer
• Erscheinungsdatum: 2009
• ISBN 10: 3642069622
• ISBN 13: 9783642069628
• Einband: Tapa blanda
• Auflage: 1
• Anzahl der Seiten: 376
• Herausgeber: Engelmann Bernd, Rauhmeier Robert