Engelmann / Rauhmeier / Gerlach The Basel II Risk Parameters
2006
ISBN: 978-3-540-33087-5
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
Estimation, Validation, and Stress Testing
E-Book, Englisch, 376 Seiten, eBook
ISBN: 978-3-540-33087-5
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Professional/practitioner
Autoren/Hrsg.
Weitere Infos & Material
Statistical Methods to Develop Rating Models.- Estimation of a Rating Model for Corporate Exposures.- Scoring Models for Retail Exposures.- The Shadow Rating Approach — Experience from Banking Practice.- Estimating Probabilities of Default for Low Default Portfolios.- 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.- Overview of EAD Estimation Concepts.- 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.
