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

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...

Ausführliche Beschreibung

Bibliographische Detailangaben
Körperschaft: SpringerLink (Online service)
Weitere Verfasser: Engelmann, Bernd (HerausgeberIn), Rauhmeier, Robert (HerausgeberIn)
Format: Electronic Resource
Sprache:English
Veröffentlicht: Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Schlagworte:
Econometrics.
Industrial management.
Credit > Mathematical models.
Risk > Mathematical models.
Credit ratings > Mathematical models.
Electronic books.
Online Zugang:Available for University of the Philippines Diliman via SpringerLink. Click here to access