The Basel II Risk Parameters: Estimation, Validation, Stress Testing - With Applications to Loan Risk Management - Rilegato

 
9783642161131: The Basel II Risk Parameters: Estimation, Validation, Stress Testing - With Applications to Loan Risk Management
Rilegato
ISBN 10: 3642161138 ISBN 13: 9783642161131
Casa editrice: Springer Nature, 2011

Sinossi

<p>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. </p>

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Dalla quarta di copertina

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer Nature
Data di pubblicazione
2011
Lingua
Inglese
ISBN 10 
3642161138
ISBN 13 
9783642161131
Rilegatura
Copertina rigida
Numero edizione
2
Numero di pagine
426
Redattore
Engelmann Bernd, Rauhmeier Robert
Contatto del produttore
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Germania

Altre edizioni note dello stesso titolo

9783642442353: The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Edizione in evidenza

ISBN 10:  3642442358 ISBN 13:  9783642442353
Casa editrice: Springer, 2014
Brossura