Logo - springer
Slogan - springer

Business & Management - Finance & Banking | The Basel II Risk Parameters - Estimation, Validation, Stress Testing - with Applications to Loan

The Basel II Risk Parameters

Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Engelmann, Bernd, Rauhmeier, Robert (Eds.)

2nd ed. 2011, XIV, 426 p.

Available Formats:
eBook
Information

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.

 
$79.99

(net) price for USA

ISBN 978-3-642-16114-8

digitally watermarked, no DRM

Included Format: PDF and EPUB

download immediately after purchase


learn more about Springer eBooks

add to marked items

Hardcover
Information

Hardcover version

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$109.00

(net) price for USA

ISBN 978-3-642-16113-1

free shipping for individuals worldwide

online orders shipping within 2-3 days.


add to marked items

Softcover
Information

Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$109.00

(net) price for USA

ISBN 978-3-642-44235-3

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

  • 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

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.

Content Level » Professional/practitioner

Keywords » Basel II - Basle II - Credit Risk Management - Defaut Probability Estimation - Exposure at Default Estimation - Loss Given Default Estimation

Related subjects » Business & Management for Professionals - Econometrics / Statistics - Finance & Banking - Quantitative Finance

Table of contents 

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.

Popular Content within this publication 

 

Articles

Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Finance / Banking.