Title: The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Publisher: Springer
Publication Date: 2014
Language: English
ISBN 10: 3642442358
ISBN 13: 9783642442353
Binding: Soft cover
Edition: 2nd Edition
Condition: New

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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.

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