Overview
Insights into credit portfolio models and the Basel II framework
Diverse perspectives through articles from supervisors, researchers and practitioners
New edition: With 3 additional chapters on loan risk management
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Table of contents (18 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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, on the other to compute regulatory capital according to the new Basel rules. This 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 and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
Editors and Affiliations
Bibliographic Information
Book Title: The Basel II Risk Parameters
Book Subtitle: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Editors: Bernd Engelmann, Robert Rauhmeier
DOI: https://doi.org/10.1007/978-3-642-16114-8
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2011
Hardcover ISBN: 978-3-642-16113-1Published: 18 April 2011
Softcover ISBN: 978-3-642-44235-3Published: 11 October 2014
eBook ISBN: 978-3-642-16114-8Published: 31 March 2011
Edition Number: 2
Number of Pages: XIV, 426
Topics: Finance, general, Management, Quantitative Finance, Econometrics