The Basel II Risk Parameters Estimation, Validation, and Stress Testing /

In the last decade the banking industry has experienced a significant development in the understanding of credit risk. Refined methods were proposed concerning the estimation of key risk parameters like default probabilities. Further, a large v- ume of literature on the pricing and measurement of cr...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Engelmann, Bernd (Editor ), Rauhmeier, Robert (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
Edición:1st ed. 2006.
Temas:
Finance.
Management.
Social sciences-Mathematics.
Econometrics.
Financial Economics.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Statistical Methods to Develop Rating Models
  • Estimation of a Rating Model for Corporate Exposures
  • Scoring Models for Retail Exposures
  • The Shadow Rating Approach - Experience from Banking Practice
  • Estimating Probabilities of Default for Low Default Portfolios
  • 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
  • Overview of EAD Estimation Concepts
  • 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.

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