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

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Engelmann, Bernd (Επιμελητής έκδοσης), Rauhmeier, Robert (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
• Θέματα: Finance.; Management.; Economics, Mathematical.; Econometrics.; Finance, general.; Quantitative Finance.

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...

Πίνακας περιεχομένων:

• Statistical Methods to Develop Rating Models
• Estimation of a Rating Model for Corporate Exposures
• The Shadow Rating Approach - Experience from Banking Practice
• Estimating Probabilities of Default for Low Default Portfolios
• Transition Matrices: Properties and Estimation Methods
• 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
• Possibilities of Estimating Exposures
• 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
• Risk Management of Loans and Guarantees
• Risk Management of Loans with Embedded Options.