The basel II risk parameters estimation, validation, and stress testing

Engelmann, Bernd; Rauhmeier, Robert

ISBN 10: 3540330852 / ISBN 13: 9783540330851

Published by Springer International Publishing AG, Frankfurt, 2006

About this Item

Seller Inventory # 100777157

Bibliographic Details

• Title: The basel II risk parameters estimation, validation, and stress testing
• Publisher: Springer International Publishing AG, Frankfurt
• Publication Date: 2006
• Language: English
• ISBN 10: 3540330852
• ISBN 13: 9783540330851
• Binding: TAPA DURA
• Condition: New

About this title

Synopsis

A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.

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.