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, on the other to compute regulatory capital according to the new Basel rules. This 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 and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
Bernd Engelmann & Robert Rauhmeier
The Basel II Risk Parameters
Estimation, Validation, Stress Testing – with Applications to Loan Risk Management
The Basel II Risk Parameters
Estimation, Validation, Stress Testing – with Applications to Loan Risk Management
Language English ● Format PDF ● Pages 426 ● ISBN 9783642161148 ● File size 6.2 MB ● Editor Bernd Engelmann & Robert Rauhmeier ● Publisher Springer Berlin ● City Heidelberg ● Country DE ● Published 2011 ● Edition 2 ● Downloadable 24 months ● Currency EUR ● ID 2172254 ● Copy protection Social DRM