The Basel II Risk Parameters
Estimation, Validation, and Stress Testing
(Sprache: Englisch)
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...
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Produktinformationen zu „The Basel II Risk Parameters “
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.
Klappentext zu „The Basel II Risk Parameters “
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.
Inhaltsverzeichnis zu „The Basel II Risk Parameters “
- 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
Autoren-Porträt
Bernd Engelmann ist Professor für Numerische Mathematik, er hält Vorlesungen zur Höheren Mathematik für Ingenieure und zur Numerik für Informatiker und Wirtschaftsmathematiker.
Bibliographische Angaben
- 2006, XVI, 376 Seiten, 7 Schwarz-Weiß-Abbildungen, Maße: 16,1 x 24,2 cm, Gebunden, Englisch
- Ed. by Bernd Engelmann u. Robert Rauhmeier
- Herausgegeben: Bernd Engelmann, Robert Rauhmeier
- Verlag: Springer, Berlin
- ISBN-10: 3540330852
- ISBN-13: 9783540330851
Sprache:
Englisch
Rezension zu „The Basel II Risk Parameters “
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)
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