The Basel II Risk Parameters [recurso electrónico] : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management / edited by Bernd Engelmann, Robert Rauhmeier.
Tipo de material: TextoEditor: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011Descripción: XIV, 426 p. online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783642161148Tema(s): Economics | Finance | Econometrics | Industrial management | Economics/Management Science | Finance/Investment/Banking | Management/Business for Professionals | Quantitative Finance | EconometricsFormatos físicos adicionales: Printed edition:: Sin títuloClasificación CDD: 657.8333 | 658.152 Clasificación LoC:HG1-9999HG4501-6051HG1501-HG3550Recursos en línea: Libro electrónicoTipo de ítem | Biblioteca actual | Colección | Signatura | Copia número | Estado | Fecha de vencimiento | Código de barras |
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Libro Electrónico | Biblioteca Electrónica | Colección de Libros Electrónicos | HG1 -9999 (Browse shelf(Abre debajo)) | 1 | No para préstamo | 375225-2001 |
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HG1 -9999 Real Options Valuation | HG1 -9999 Optimal Strategies in Sports Economics and Management | HG1 -9999 Pricing and Risk Management of Synthetic CDOs | HG1 -9999 The Basel II Risk Parameters | HG1 -9999 Financial Market Integration and Growth | HG1 -9999 Supply Chain Finance Solutions | HG1 -9999 Financial Aspects in Energy |
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.
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.
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