The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Language: English
Published by Springer, 2011
- Hardcover
- Used
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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.
Seller Inventory # 00106508216
- Title
- The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
- Author
- Bernd Engelmann
- Publisher
- Springer
- Publication year
- 2011
- Condition
- Good
- Binding
- Hardback
- Language
- English
- ISBN 10
- 3642161138
- ISBN 13
- 9783642161131
- Edition
- 2nd Edition
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.
From the Back Cover
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.
"About the title" may belong to another edition of this title.
World of Books (was SecondSale)
Montgomery, IL, U.S.A.
AbeBooks seller since December 20, 2007
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