The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
Author:   Bernd Engelmann ,  Robert Rauhmeier
Publisher:   Springer
ISBN:  

9781280615337


Pages:   376
Publication Date:   01 January 2006
Format:   Undefined
Availability:   Available To Order   Availability explained
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The Basel II Risk Parameters: Estimation, Validation, and Stress Testing


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Overview

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. These parameters are used on the one hand as inputs to credit portfolio models, on the other to compute regulatory capital according to the new Basel rules. The 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. A chapter on stress testing of the Basel II risk parameters concludes the monograph.

Full Product Details

Author:   Bernd Engelmann ,  Robert Rauhmeier
Publisher:   Springer
Imprint:   Springer
ISBN:  

9781280615337


ISBN 10:   1280615338
Pages:   376
Publication Date:   01 January 2006
Audience:   General/trade ,  General
Format:   Undefined
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

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