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
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer Berlin Heidelberg

Cover of the book Surgical Neuroangiography by
Cover of the book Ultra-Broadly Tunable Light Sources Based on the Nonlinear Effects in Photonic Crystal Fibers by
Cover of the book Social Security and Economic Globalization by
Cover of the book Blind Source Separation by
Cover of the book Person Perception and Attribution by
Cover of the book Fluorescent Proteins I by
Cover of the book Atlas of Cancer Mortality in Poland 1975–1979 by
Cover of the book Inflammatory Diseases of the Brain by
Cover of the book Handbook of Digital Homecare by
Cover of the book Funktionsdiagnostik in Endokrinologie, Diabetologie und Stoffwechsel by
Cover of the book IT-Berater und soziale Medien by
Cover of the book Beyond Data Protection by
Cover of the book Observation of the Continental Crust through Drilling II by
Cover of the book Intense Atmospheric Vortices by
Cover of the book Die "Kind als Schaden"-Rechtsprechung im Verhältnis zu den §§ 218 ff. StGB by
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy