The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Robert Rauhmeier

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Language: English

Published by Springer, 2011

3642161138 / 9783642161131

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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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

Title
The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Author
Robert Rauhmeier
Publisher
Springer
Publication year
2011
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3642161138
ISBN 13
9783642161131
Edition
2nd Edition
Item weight
771 grams
Dimensions
241x160x30 mm

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

Shipping rates from Germany to U.S.A.

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