The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

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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.
Copyright:
2011

Book Details

Book Quality:
Publisher Quality
ISBN-13:
9783642161148
Related ISBNs:
9783642161131
Publisher:
Springer Berlin Heidelberg
Date of Addition:
Copyrighted By:
Springer
Adult content:
No
Language:
English
Has Image Descriptions:
No
Categories:
Nonfiction, Business and Finance, Mathematics and Statistics
Submitted By:
Bookshare Staff
Usage Restrictions:
This is a copyrighted book.

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