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Basel II Risk Parameters

Language EnglishEnglish
Book Hardback
Book Basel II Risk Parameters Bernd Engelmann
Libristo code: 01656741
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, April 2011
The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss gi... Full description
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The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), 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, on the other to compute regulatory capital according to the new Basel rules. The book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD. A chapter on stress testing of the Basel II risk parameters concludes the monograph.

About the book

Full name Basel II Risk Parameters
Author Bernd Engelmann, Robert Rauhmeier
Language English
Binding Book - Hardback
Date of issue 2011
Number of pages 426
EAN 9783642161131
ISBN 3642161138
Libristo code 01656741
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Weight 750
Dimensions 158 x 241 x 29

Categories

Economics, Finance, Business & Management > Finance & accounting > Finance
Economics, Finance, Business & Management > Economics > Econometrics & economic statistics
Economics, Finance, Business & Management > Business & Management > Management & management techniques
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