The Basel II Risk Parameters Estimation, Validation, and Stress Testing /

• Corporate Author: SpringerLink (Online service)
• Other Authors: Engelmann, Bernd (Editor), Rauhmeier, Robert (Editor)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Subjects: Finance.; Management.; Economics, Mathematical.; Econometrics.; Finance, general.; Quantitative Finance.

In the last decade the banking industry has experienced a significant development in the understanding of credit risk. Refined methods were proposed concerning the estimation of key risk parameters like default probabilities. Further, a large v- ume of literature on the pricing and measurement of cr...