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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Bibliographic Details
Call Number:Libro Electrónico
Corporate Author: SpringerLink (Online service)
Other Authors: Engelmann, Bernd (Editor), Rauhmeier, Robert (Editor)
Format: Electronic eBook
Language:Inglés
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
Edition:1st ed. 2006.
Subjects:
Finance.
Management.
Social sciences-Mathematics.
Econometrics.
Financial Economics.
Mathematics in Business, Economics and Finance.
Online Access:Texto Completo
Table of Contents:
  • 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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