The Basel II Risk Parameters Estimation, Validation, and Stress Testing /
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...
| Συγγραφή απο Οργανισμό/Αρχή: | |
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| Άλλοι συγγραφείς: | , |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2006.
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Statistical Methods to Develop Rating Models
- Estimation of a Rating Model for Corporate Exposures
- Scoring Models for Retail Exposures
- The Shadow Rating Approach — Experience from Banking Practice
- Estimating Probabilities of Default for Low Default Portfolios
- A Multi-Factor Approach for Systematic Default and Recovery Risk
- Modelling Loss Given Default: A “Point in Time”-Approach
- Estimating Loss Given Default — Experiences from Banking Practice
- Overview of EAD Estimation Concepts
- EAD Estimates for Facilities with Explicit Limits
- Validation of Banks’ Internal Rating Systems - A Supervisory Perspective
- Measures of a Rating’s Discriminative Power — Applications and Limitations
- Statistical Approaches to PD Validation
- PD-Validation — Experience from Banking Practice
- Development of Stress Tests for Credit Portfolios.
