The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
Evelyn Hayden, Daniel Porath (auth.), Dr. Bernd Engelmann, Dr. Robert Rauhmeier (eds.)A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). These sophisticated parameters are used on the one hand as analysis tools in the modeling of credit portfolio, and are also used to compute regulatory capital according to the new Basel rules.
This book offers comprehensive coverage of the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD. This timely and practical monograph concludes with a chapter on stress testing of the Basel II risk parameters.
ক্যাটাগোরিগুলো:
সাল:
2006
প্রকাশক:
Springer Berlin Heidelberg
ভাষা:
english
পৃষ্ঠা:
383
ISBN 10:
3540330879
ISBN 13:
9783540330875
ফাইল:
PDF, 6.47 MB
IPFS:
,
english, 2006
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