The Basel II Risk Parameters : Estimation, Validation, and Stress Testing

edited by Bernd Engelmann, Robert Rauhmeier

The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) is an important problem in banking practice. This book covers designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD

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Year of publication:	2006
Other Persons:	Engelmann, Bernd (contributor) ; Rauhmeier, Robert (contributor)
Publisher:	Berlin, Heidelberg : Springer Berlin · Heidelberg
Subject:	Basler Akkord \| Basel Accord \| Bankrisiko \| Bank risk \| Kreditrisiko \| Credit risk \| Schätztheorie \| Estimation theory \| Welt \| World \| Messung \| Measurement \| Bewertung \| Evaluation \| Kennzahl \| Kreditgeschäft \| Rating \| Forderungsausfallrisiko \| Basler Eigenkapitalvereinbarung <2004> \| Aufsatzsammlung
Description of contents:	Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de]

Extent:	Online-Ressource (XVI, 376p, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references and index Statistical Methods to Develop Rating Models; Estimation of a Rating Model for Corporate Exposures; Scoring Models for Retail Exposures; The Shadow Rating Approach - Experience from Banking Practice; Estimating Probabilities of Default for Low Default Portfolios; 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; Overview of EAD Estimation Concepts; EAD Estimates for Facilities with Explicit Limits Validation of Banks' Internal Rating Systems - A Supervisory PerspectiveMeasures 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
ISBN:	978-3-540-33087-5 ; 978-3-540-33085-1
Other identifiers:	10.1007/3-540-33087-9 [DOI]
Classification:	Investition, Finanzierung ; Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013520547