The Basel II Risk Parameters

Robert Rauhmeier

ISBN 10: 3642161138 / ISBN 13: 9783642161131

Verlag: Springer Berlin Heidelberg, Springer Berlin Heidelberg Apr 2011, 2011

Beschreibung

Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 440 pp. Englisch.

Bestandsnummer des Verkäufers 9783642161131

Bibliografische Details

• Titel: The Basel II Risk Parameters
• Verlag: Springer Berlin Heidelberg, Springer Berlin Heidelberg Apr 2011
• Erscheinungsjahr: 2011
• Sprache: Englisch
• ISBN-10: 3642161138
• ISBN-13: 9783642161131
• Einband: Buch
• Auflage: 2. Auflage
• Zustand: Neu
• Abmessungen: 241B x 160 H x 30 T Millimeter Breite: 241 mm, Höhe: 160 mm, Tiefe: 30 mm
• Gewicht: 822 Gramm

Über diesen Titel

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.