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The Basel II Risk Parameters

Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Bernd Engelmann, Robert Rauhmeier (Herausgeber)

Buch | Hardcover

XIV, 426 Seiten

2011 | 2. Second Edition 2011
Springer Berlin (Verlag)
9783642161131 (ISBN)

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The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), 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, on the other to compute regulatory capital according to the new Basel rules. The 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. A chapter on stress testing of the Basel II risk parameters concludes the monograph.

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.

Erscheint lt. Verlag	18.4.2011
Zusatzinfo	XIV, 426 p.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	765 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
Schlagworte	Basel II • Basle II • Credit Risk Management • Defaut Probability Estimation • Exposure at Default Estimation • Loss Given Default Estimation • Quantitative Finance
ISBN-13	9783642161131 / 9783642161131
Zustand	Neuware