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Cover: 9783642442353 | The Basel II Risk Parameters | Robert Rauhmeier (u. a.) | Taschenbuch
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The Basel II Risk Parameters
Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Taschenbuch von Robert Rauhmeier (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Zusammenfassung

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

Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2014
Fachbereich: Volkswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Inhalt: xiv
426 S.
ISBN-13: 9783642442353
ISBN-10: 3642442358
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Redaktion: Rauhmeier, Robert
Engelmann, Bernd
Herausgeber: Bernd Engelmann/Robert Rauhmeier
Auflage: 2nd ed. 2011
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Maße: 235 x 155 x 24 mm
Von/Mit: Robert Rauhmeier (u. a.)
Erscheinungsdatum: 11.10.2014
Gewicht: 0,663 kg
Artikel-ID: 104914145
Zusammenfassung

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

Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2014
Fachbereich: Volkswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Inhalt: xiv
426 S.
ISBN-13: 9783642442353
ISBN-10: 3642442358
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Redaktion: Rauhmeier, Robert
Engelmann, Bernd
Herausgeber: Bernd Engelmann/Robert Rauhmeier
Auflage: 2nd ed. 2011
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Maße: 235 x 155 x 24 mm
Von/Mit: Robert Rauhmeier (u. a.)
Erscheinungsdatum: 11.10.2014
Gewicht: 0,663 kg
Artikel-ID: 104914145
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