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...

Полное описание

Библиографические подробности
Соавтор: SpringerLink (Online service)
Другие авторы: Engelmann, Bernd (Редактор), Rauhmeier, Robert (Редактор)
Формат: Electronic Resource
Язык:English
Опубликовано: Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Предметы:
Econometrics.
Industrial management.
Credit > Mathematical models.
Risk > Mathematical models.
Credit ratings > Mathematical models.
Electronic books.
Online-ссылка:Available for University of the Philippines Diliman via SpringerLink. Click here to access