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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Údar corparáideach: SpringerLink (Online service)
Rannpháirtithe: Engelmann, Bernd (Eagarthóir), Rauhmeier, Robert (Eagarthóir)
Formáid: Electronic Resource
Teanga:English
Foilsithe / Cruthaithe: Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Ábhair:
Econometrics.
Industrial management.
Credit > Mathematical models.
Risk > Mathematical models.
Credit ratings > Mathematical models.
Electronic books.
Rochtain ar líne:Available for University of the Philippines Diliman via SpringerLink. Click here to access