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The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management - Brossura
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 "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Contenuti:
Statistical Methods to Develop Rating Models.- Estimation of a Rating Model for Corporate Exposures.- The Shadow Rating Approach - Experience from Banking Practice.- Estimating Probabilities of Default for Low Default Portfolios.- Transition Matrices: Properties and Estimation Methods.- A Multi-Factor Approach for Systematic Default and Recovery Risk.- Modelling Loss Given Default: A "Point in Time"-Approach.- Estimating Loss Given Default - Experiences from Banking Practice.- Possibilities of Estimating Exposures.- EAD Estimates for Facilities with Explicit Limits.- Validation of Banks' Internal Rating Systems - A Supervisory Perspective.- Measures of a Rating' s Discriminative Power - Applications and Limitations.- Statistical Approaches to PD Validation.- PD-Validation - Experience from Banking Practice.- Development of Stress Tests for Credit Portfolios.- Risk Management of Loans and Guarantees.- Risk Management of Loans with Embedded Options.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
- EditoreSpringer
- Data di pubblicazione2014
- ISBN 10 3642442358
- ISBN 13 9783642442353
- RilegaturaCopertina flessibile
- Numero edizione2
- Numero di pagine440
- RedattoreEngelmann Bernd, Rauhmeier Robert
- Valutazione libreria
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The Basel II Risk Parameters
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Springer Berlin Heidelberg Okt 2014
(2014)
ISBN 10: 3642442358
ISBN 13: 9783642442353
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Descrizione libro Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 440 pp. Englisch. Codice articolo 9783642442353
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The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Editore:
Springer Berlin Heidelberg
(2014)
ISBN 10: 3642442358
ISBN 13: 9783642442353
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Descrizione libro Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Codice articolo 9783642442353
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ISBN 13: 9783642442353
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Descrizione libro Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Insights into credit portfolio models and the Basel II frameworkDiverse perspectives through articles from supervisors, researchers and practitionersNew edition: With 3 additional chapters on loan risk managementThe estimation an. Codice articolo 11801076
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