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

9786610615339


Pages:   384
Publication Date:   01 January 2006
Format:   Electronic book text
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

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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:  

9786610615339


ISBN 10:   6610615330
Pages:   384
Publication Date:   01 January 2006
Audience:   General/trade ,  General
Format:   Electronic book text
Publisher's Status:   Active
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

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