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Basel II Risk Parameters
Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Language
English
English
Book
Hardback
The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss gi...
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Libristo code: 01656741
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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.
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About the book
Full name
Basel II Risk Parameters
Author
Bernd Engelmann, Robert Rauhmeier
Language
English
English
Binding
Book - Hardback
Date of issue
2011
Number of pages
426
EAN
9783642161131
ISBN
3642161138
Libristo code
01656741
Weight
750
Dimensions
158 x 241 x 29
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