Items related to The Basel II Risk Parameters: Estimation, Validation,...
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management - Hardcover
Synopsis
The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), 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 and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This 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 and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
"synopsis" may belong to another edition of this title.
Review
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)
"About this title" may belong to another edition of this title.
- PublisherSpringer
- Publication date2011
- ISBN 10 3642161138
- ISBN 13 9783642161131
- BindingHardcover
- Edition number2
- Number of pages440
- EditorEngelmann Bernd, Rauhmeier Robert
- Rating
Buy New
Learn more about this copy
US$ 114.49
Shipping:
US$ 2.64
Within U.S.A.
Other Popular Editions of the Same Title
Top Search Results from the AbeBooks Marketplace
Stock Image
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Seller: HPB Inc., Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
hardcover. Condition: USED_VERYGOOD. Connecting readers with great books since 1972! Used books may not include companion materials, and may have some shelf wear or limited writing. We ship orders daily and Customer Service is our top priority!. Seller Inventory # S_402573618
Quantity: 1 available
Stock Image
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Seller: Books Unplugged, Amherst, NY, U.S.A.
Seller rating 5 out of 5 stars
Condition: Good. Buy with confidence! Book is in good condition with minor wear to the pages, binding, and minor marks within 1.68. Seller Inventory # bk3642161138xvz189zvxgdd
Quantity: 1 available
Stock Image
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Seller: GF Books, Inc., Hawthorne, CA, U.S.A.
Seller rating 5 out of 5 stars
Condition: Very Good. Book is in Used-VeryGood condition. Pages and cover are clean and intact. Used items may not include supplementary materials such as CDs or access codes. May show signs of minor shelf wear and contain very limited notes and highlighting. 1.68. Seller Inventory # 3642161138-2-3
Quantity: 1 available
Seller Image
Basel II Risk Parameters : Estimation, Validation, Stress Testing - With Applications to Loan Risk Management
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 12468367-n
Quantity: 5 available
Seller Image
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management [Hardcover ]
Seller: booksXpress, Bayonne, NJ, U.S.A.
Seller rating 4 out of 5 stars
Hardcover. Condition: new. Seller Inventory # 9783642161131
Quantity: 10 available
Stock Image
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: NEW. Seller Inventory # ABLIING23Mar3113020219740
Quantity: Over 20 available
Stock Image
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Seller: California Books, Miami, FL, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # I-9783642161131
Quantity: Over 20 available
Seller Image
The Basel II Risk Parameters
Published by
Springer Berlin Heidelberg Apr 2011, 2011
ISBN 10: 3642161138
ISBN 13: 9783642161131
New
Hardcover
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 440 pp. Englisch. Seller Inventory # 9783642161131
Quantity: 2 available
Seller Image
The Basel II Risk Parameters
Published by
Springer Berlin Heidelberg, 2011
ISBN 10: 3642161138
ISBN 13: 9783642161131
New
Hardcover
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Gebunden. Condition: NEW. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Insights into credit portfolio models and the Basel II frameworkDiverse perspectives through articles from supervisors, researchers and practitionersNew edition: With 3 additional chapters on loan risk managementThe estimatio. Seller Inventory # 5051042
Quantity: Over 20 available
Seller Image
The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Published by
Springer Berlin Heidelberg, 2011
ISBN 10: 3642161138
ISBN 13: 9783642161131
New
Hardcover
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783642161131
Quantity: 1 available