The Basel II Risk Parameters

Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Herausgegeben:Engelmann, Bernd; Rauhmeier, Robert

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 80023215, 978-3-642-16113-1
• 2nd ed.
• Seitenzahl: 440
• Erscheinungstermin: 18. April 2011
• Englisch
• Abmessung: 241mm x 160mm x 30mm
• Gewicht: 760g
• ISBN-13: 9783642161131
• ISBN-10: 3642161138
• Artikelnr.: 31562051

Inhaltsangabe

Statistical Methods to Develop Rating Models.- Estimation of a Rating Model for Corporate Exposures.- The Shadow Rating Approach - Experience from Banking Practice.- Estimating Probabilities of Default for Low Default Portfolios.- Transition Matrices: Properties and Estimation Methods.- A Multi-Factor Approach for Systematic Default and Recovery Risk.- Modelling Loss Given Default: A "Point in Time"-Approach.- Estimating Loss Given Default - Experiences from Banking Practice.- Possibilities of Estimating Exposures.- EAD Estimates for Facilities with Explicit Limits.- Validation of Banks' Internal Rating Systems - A Supervisory Perspective.- Measures of a Rating' s Discriminative Power - Applications and Limitations.- Statistical Approaches to PD Validation.- PD-Validation - Experience from Banking Practice.- Development of Stress Tests for Credit Portfolios.- Risk Management of Loans and Guarantees.- Risk Management of Loans with Embedded Options.