Bernd Engelmann (szerk.) · Robert Rauhmeier (szerk.)

The ​Basel II Risk Parameters 0 csillagozás

Estimation, Validation, and Stress Testing
Bernd Engelmann – Robert Rauhmeier (szerk.): The Basel II Risk Parameters

The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), 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, on the other to compute regulatory capital according to the new Basel rules. The book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD. A chapter on stress testing of the Basel II risk parameters concludes the monograph.

>!
Springer, Leverkusen, 2010
376 oldal · puhatáblás · ISBN: 9783642069628

Hasonló könyvek címkék alapján

Jeffry A. Timmons – Stephen Spinelli: New Venture Creation
Doug J. Chung – Byungyeon Kim – Niladri B. Syam: A Practical Approach to Sales Compensation
Kovács János (szerk.): Auditing szótár – angol, német, magyar
Frederick D. S. Choi (szerk.): International Finance and Accounting Handbook
Vicki Robin – Joe Dominguez – Monique Tilford: Your Money or Your Life
Terry Pratchett: Making Money
Tony Hsieh: Delivering Happiness
M. J. DeMarco: The Millionaire Fastlane
Jeffrey Archer: Kane and Abel
Bessel van der Kolk: The Body Keeps the Score