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A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.
Nákup knihy
The Basel II Risk Parameters, Berndt Engelmann, Robert Rauhmeier
- Jazyk
- Rok vydání
- 2006
- Vazba
- (pevná),
- Stav knihy
- Dobrá
- Cena
- 1 399 Kč
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- Titul
- The Basel II Risk Parameters
- Podtitul
- Estimation, Validation, and Stress Testing
- Jazyk
- anglicky
- Autoři
- Berndt Engelmann, Robert Rauhmeier
- Vydavatel
- Springer
- Rok vydání
- 2006
- Vazba
- pevná
- Počet stran
- 392
- ISBN10
- 3540330852
- ISBN13
- 9783540330851
- Série
- Štítky
- Byznys, Ekonomie, Matematika, Management & HR, Finance, Západní Evropa, Vývoj, Bankovnictví, Modeling
- Anotace
- A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.