The Basel II Risk Parameters - Estimation, Validation, Stress Testing - with Applications to Loan Risk Management (Paperback, 2nd ed. 2011)

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.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Release date:	October 2014
First published:	2011
Editors:	Bernd Engelmann • Robert Rauhmeier
Dimensions:	235 x 155 x 23mm (L x W x T)
Format:	Paperback
Pages:	426
Edition:	2nd ed. 2011
ISBN-13:	978-3-642-44235-3
Categories:	Books > Business & Economics > Economics > Econometrics > General Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Management & management techniques > General Books > Money & Finance > General
LSN:	3-642-44235-8
Barcode:	9783642442353

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