The Basel II Risk Parameters: Estimation, Validation, and Stress Testing (2006)
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- Synopsis
- A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.
- Copyright:
- 2006
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783540330875
- Related ISBNs:
- 9783540330851
- Publisher:
- Springer Berlin Heidelberg
- Date of Addition:
- 08/21/22
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
- Edited by:
- Bernd Engelmann
- Edited by:
- Robert Rauhmeier
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- by Bernd Engelmann
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- in Nonfiction
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- in Mathematics and Statistics