The Basel II Risk Parameters
Broschiertes Buch

The Basel II Risk Parameters

Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Herausgegeben: Engelmann, Bernd; Rauhmeier, Robert
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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...