The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management - Hardcover

 
9783642161131: The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Hardcover
ISBN 10: 3642161138 ISBN 13: 9783642161131
Verlag: Springer, 2011

Inhaltsangabe

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.

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Von der hinteren Coverseite

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.

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Verlag
Springer
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
3642161138
ISBN 13 
9783642161131
Einband
Gebundene Ausgabe
Auflage
2
Anzahl der Seiten
440
Herausgeber
Engelmann Bernd, Rauhmeier Robert
Kontakt zum Hersteller
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Deutschland

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