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...

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Podrobná bibliografie
Korporativní autor: SpringerLink (Online service)
Další autoři: Engelmann, Bernd (Editor), Rauhmeier, Robert (Editor)
Médium: Electronic Resource
Jazyk:English
Vydáno: Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Témata:
Econometrics.
Industrial management.
Credit > Mathematical models.
Risk > Mathematical models.
Credit ratings > Mathematical models.
Electronic books.
On-line přístup:Available for University of the Philippines Diliman via SpringerLink. Click here to access