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

 
9783642442353: The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Softcover
ISBN 10: 3642442358 ISBN 13: 9783642442353
Verlag: Springer, 2014

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
2014
Sprache
Englisch
ISBN 10 
3642442358
ISBN 13 
9783642442353
Einband
Tapa blanda
Auflage
2
Anzahl der Seiten
440
Herausgeber
Engelmann Bernd, Rauhmeier Robert
Kontakt zum Hersteller
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Heidelberg
69115
Deutschland

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