The Basel II Risk Parameters

Robert Rauhmeier

ISBN 10: 3642161138 / ISBN 13: 9783642161131

Published by Springer Berlin Heidelberg Apr 2011, 2011

About this Item

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

Bibliographic Details

• Title: The Basel II Risk Parameters
• Publisher: Springer Berlin Heidelberg Apr 2011
• Publication Date: 2011
• Language: English
• ISBN 10: 3642161138
• ISBN 13: 9783642161131
• Binding: Buch
• Edition: 2nd Edition
• Condition: Neu
• Dimensions: 241W x 160H x 30D millimeters 241 millimeters width by 160 millimeters height by 30 millimeters depth
• Weight: 822 grams

About this title

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.