The Basel II Risk Parameters
| Autor: | Bernd Engelmann, Bernd Engelmann, Sören Gerlach, Robert Rauhmeier |
|---|---|
| EAN: | 9783540330875 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 24.08.2006 |
| Untertitel: | Estimation, Validation, and Stress Testing |
| Kategorie: | |
| Schlagworte: | Banking Basel II Basle II Credit Portfolio Models Default Probability Estimations Rating Systems Risk Management Risk Parameters Stress Testing Validation development modeling statistical method |
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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). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.