The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) all play important roles on banking practice. This volume presents up-to-date designing and validating rating systems and default probability estimations.
"synopsis" may belong to another edition of this title.
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.
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.
Shipping:
US$ 2.64
Within U.S.A.
Shipping:
FREE
Within U.S.A.
Seller: GF Books, Inc., Hawthorne, CA, U.S.A.
Condition: NEW. Book is in NEW condition. 1.49. Seller Inventory # 3642442358-2-1
Quantity: 1 available
Seller: Book Deals, Tucson, AZ, U.S.A.
Condition: NEW. New! This book is in the same immaculate condition as when it was published 1.49. Seller Inventory # 353-3642442358-new
Quantity: 1 available
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Condition: New. Seller Inventory # 22049626-n
Quantity: 5 available
Seller: booksXpress, Bayonne, NJ, U.S.A.
Soft Cover. Condition: new. Seller Inventory # 9783642442353
Quantity: 10 available
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Condition: As New. Unread book in perfect condition. Seller Inventory # 22049626
Quantity: 5 available
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Condition: NEW. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. Seller Inventory # ria9783642442353_lsuk
Quantity: Over 20 available
Seller: Chiron Media, Wallingford, United Kingdom
PF. Condition: New. Seller Inventory # 6666-IUK-9783642442353
Quantity: 10 available
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Condition: NEW. Seller Inventory # ABLIING23Mar3113020228105
Quantity: Over 20 available
Seller: GreatBookPricesUK, Castle Donington, DERBY, United Kingdom
Condition: New. Seller Inventory # 22049626-n
Quantity: 5 available
Seller: GreatBookPricesUK, Castle Donington, DERBY, United Kingdom
Condition: As New. Unread book in perfect condition. Seller Inventory # 22049626
Quantity: 5 available