Editors:
- Insights into credit portfolio models and the Basel II framework
- Diverse perspectives through articles from supervisors, researchers and practitioners
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Table of contents (15 chapters)
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Front Matter
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Back Matter
About this book
Reviews
From the reviews:
"This book compiles articles by various authors addressing estimation of three key risk parameters: probability of default (PD), loss given default (LGD), and exposure at default (EAD). … The authors identify their intended audience as risk managers and quantitative risk or ratings analysts working on credit risk and regulatory issues. These groups likely will find this book an accessible reference … . The exposition related to regulatory issues is quite good and worthwhile for all." (Keith Heyen, Journal of the American Statistical Association, Vol. 103 (483), September, 2008)
Editors and Affiliations
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Quanteam Dr. Bernd Engelmann und Sören Gerlach GbR, Frankfurt
Bernd Engelmann
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Risk Instruments — Methods, Dresdner Bank AG, Frankfurt
Robert Rauhmeier
Bibliographic Information
Book Title: The Basel II Risk Parameters
Book Subtitle: Estimation, Validation, and Stress Testing
Editors: Bernd Engelmann, Robert Rauhmeier
DOI: https://doi.org/10.1007/3-540-33087-9
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2006
eBook ISBN: 978-3-540-33087-5Published: 24 August 2006
Edition Number: 1
Number of Pages: XVI, 376
Topics: Finance, general, Management, Quantitative Finance, Econometrics