The Basel II Risk Parameters

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

Business & Finance, Finance & Investing, Finance, Management & Leadership, Management
Cover of the book The Basel II Risk Parameters by , Springer Berlin Heidelberg
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Author: ISBN: 9783642161148
Publisher: Springer Berlin Heidelberg Publication: March 31, 2011
Imprint: Springer Language: English
Author:
ISBN: 9783642161148
Publisher: Springer Berlin Heidelberg
Publication: March 31, 2011
Imprint: Springer
Language: English

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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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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