Coverart for item
The Resource The Basel II risk parameters : estimation, validation, stress testing - with applications to loan risk management, Bernd Engelmann, Robert Rauhmeier, editors, (electronic book)

The Basel II risk parameters : estimation, validation, stress testing - with applications to loan risk management, Bernd Engelmann, Robert Rauhmeier, editors, (electronic book)

Label
The Basel II risk parameters : estimation, validation, stress testing - with applications to loan risk management
Title
The Basel II risk parameters
Title remainder
estimation, validation, stress testing - with applications to loan risk management
Statement of responsibility
Bernd Engelmann, Robert Rauhmeier, editors
Creator
Contributor
Subject
Language
eng
Member of
Cataloging source
QE2
http://library.link/vocab/creatorName
Engelmann, Bernd
Dewey number
332.701/5195
Illustrations
illustrations
Index
no index present
LC call number
HG3701
LC item number
.B27 2011
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Rauhmeier, Robert
http://library.link/vocab/subjectName
  • Econometrics
  • Industrial management
  • Credit
  • Risk
  • Credit ratings
  • Credit -- Mathematical models
  • Credit ratings -- Mathematical models
  • Risk -- Mathematical models
  • Business
Label
The Basel II risk parameters : estimation, validation, stress testing - with applications to loan risk management, Bernd Engelmann, Robert Rauhmeier, editors, (electronic book)
Instantiates
Publication
Note
Title from PDF t.p. (SpringerLink, viewed Apr. 27, 2011)
Bibliography note
Includes bibliographical references and index
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 -- 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: Experience 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
Control code
SPR712777127
Edition
2nd ed.
Extent
1 online resource
Form of item
online
Isbn
9783642161148
Other physical details
ill.
Specific material designation
remote
Label
The Basel II risk parameters : estimation, validation, stress testing - with applications to loan risk management, Bernd Engelmann, Robert Rauhmeier, editors, (electronic book)
Publication
Note
Title from PDF t.p. (SpringerLink, viewed Apr. 27, 2011)
Bibliography note
Includes bibliographical references and index
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 -- 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: Experience 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
Control code
SPR712777127
Edition
2nd ed.
Extent
1 online resource
Form of item
online
Isbn
9783642161148
Other physical details
ill.
Specific material designation
remote

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