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The Basel II Risk Parameters
- Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Engelsk
Bogcover for The Basel II Risk Parameters af , 9783642442353
Specifikationer
Sprog:
Engelsk
Sider:
426
ISBN-13:
9783642442353
Indbinding:
Paperback
ISBN-10:
3642442358
Udg. Dato:
11 okt 2014
Størrelse i cm:
15,5 x 23,5 x 2,7
Oplagsdato:
11 okt 2014

The Basel II Risk Parameters

- Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Engelsk
Paperback 2014
Format:

Bog beskrivelse

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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Specifikationer
Sprog:
Engelsk
Sider:
426
ISBN-13:
9783642442353
Indbinding:
Paperback
ISBN-10:
3642442358
Udg. Dato:
11 okt 2014
Størrelse i cm:
15,5 x 23,5 x 2,7
Oplagsdato:
11 okt 2014
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