Sinossi
A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Recensione
From the reviews:
"This book compiles articles by various authors addressing estimation of three key risk parameters: probability of default (PD), loss given default (LGD), and exposure at default (EAD). ... The authors identify their intended audience as risk managers and quantitative risk or ratings analysts working on credit risk and regulatory issues. These groups likely will find this book an accessible reference ... . The exposition related to regulatory issues is quite good and worthwhile for all." (Keith Heyen, Journal of the American Statistical Association, Vol. 103 (483), September, 2008)
Contenuti
Hayden E., Porath, D.: Statistical Methods to Develop Rating Models.-Hayden E.: Estimation of a Rating Model for Corporate Exposures.-Porath, D.: Scoring Models for Retail Exposures.- Erlenmaier, U.: The Shadow Rating Approach: Experience from Banking Practice.- Pluto K., Tasche, D.: Estimation Probabilities of Default for Low Default Portfolios.- Rösch D., Scheule, H.: A Multi-Factor Approach for Systematic Default and Recovery Risk.- Hamerle A., Knapp M., Wildenauer N.: Modelling Loss Given Default: A "Point in Time"-Approach.- Peter C.: Estimation Loss Given Default: Experiences from Banking Practice.- Gruber W., Parchert R.: Overview of EAD Estimation Concepts.- Moral G.: EAD Estimates for Facilities with Explicit Limits.- Blochwitz S., Hohl S.: Validation of Banks "Internal Rating Systems": A Supervisory Perspective.- Engelmann B.: Measures of a Rating's Discriminative Power: Applications and Limitations.- Blochwitz S., Martin M.R.W., Wehn C.S.: Statistical Approaches to PD Validation.- Rauhmeier, R.: PD-Validation: Expericence from Banking Practice.- Grundlach V.M.: Development of Stress Tests for Credit Portfolios
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
Altre edizioni note dello stesso titolo
Risultati della ricerca per The Basel II Risk Parameters: Estimation, Validation,...
Foto dell'editore
The basel II risk parameters estimation, validation, and stress testing
Editore:
Springer International Publishing AG, Frankfurt, 2006
ISBN 10: 3540330852
ISBN 13: 9783540330851
Nuovo
Rilegato
Da: MARCIAL PONS LIBRERO, MADRID, M, Spagna
Valutazione del venditore 4 su 5 stelle
TAPA DURA. Condizione: New. Codice articolo 100777157
Compra nuovo
EUR 87,91
Spese di spedizione:
EUR 21,00
Da: Spagna a: U.S.A.
Quantità: 1 disponibili