Coverart for item
The Resource The Basel II risk parameters : estimation, validation, and stress testing, Bernd Engelmann, Robert Rauhmeier (editors), (electronic book)

The Basel II risk parameters : estimation, validation, and stress testing, Bernd Engelmann, Robert Rauhmeier (editors), (electronic book)

Label
The Basel II risk parameters : estimation, validation, and stress testing
Title
The Basel II risk parameters
Title remainder
estimation, validation, and stress testing
Statement of responsibility
Bernd Engelmann, Robert Rauhmeier (editors)
Title variation
Basel two risk parameters
Contributor
Subject
Language
eng
Summary
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
Member of
Is part of
Action
digitized
Cataloging source
GW5XE
Dewey number
332.701/5195
Illustrations
illustrations
Index
index present
LC call number
HG3701
LC item number
.B27 2006eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Engelmann, Bernd
  • Rauhmeier, Robert
http://library.link/vocab/subjectName
  • Credit
  • Risk
  • Credit ratings
  • Economics/Management Science
  • Finance /Banking
  • Management
  • Quantitative Finance
Label
The Basel II risk parameters : estimation, validation, and stress testing, Bernd Engelmann, Robert Rauhmeier (editors), (electronic book)
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Hayden E., Porath, D.: Statistical Methods to Develop Rating Models.-Hayden E.: Estimation of a Rating Model for Corporate Exposures.-Porath, D.: Scoring Models for Retail Exposures -- Erlenmaier, U.: The Shadow Rating Approach: Experience from Banking Practice -- Pluto K., Tasche, D.: Estimation Probabilities of Default for Low Default Portfolios -- Rösch D., Scheule, H.: A Multi-Factor Approach for Systematic Default and Recovery Risk -- Hamerle A., Knapp M., Wildenauer N.: Modelling Loss Given Default: A "Point in Time"-Approach -- Peter C.: Estimation Loss Given Default: Experiences from Banking Practice -- Gruber W., Parchert R.: Overview of EAD Estimation Concepts -- Moral G.: EAD Estimates for Facilities with Explicit Limits -- Blochwitz S., Hohl S.: Validation of Banks "Internal Rating Systems": A Supervisory Perspective -- Engelmann B.: Measures of a Rating's Discriminative Power: Applications and Limitations -- Blochwitz S., Martin M.R.W., Wehn C.S.: Statistical Approaches to PD Validation -- Rauhmeier, R.: PD-Validation: Expericence from Banking Practice -- Grundlach V.M.: Development of Stress Tests for Credit Portfolios
Control code
SPR209953593
Dimensions
unknown
Extent
1 online resource (xv, 376 pages)
Form of item
online
Isbn
9783540330875
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
Reproduction note
Electronic reproduction.
Specific material designation
remote
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Label
The Basel II risk parameters : estimation, validation, and stress testing, Bernd Engelmann, Robert Rauhmeier (editors), (electronic book)
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Hayden E., Porath, D.: Statistical Methods to Develop Rating Models.-Hayden E.: Estimation of a Rating Model for Corporate Exposures.-Porath, D.: Scoring Models for Retail Exposures -- Erlenmaier, U.: The Shadow Rating Approach: Experience from Banking Practice -- Pluto K., Tasche, D.: Estimation Probabilities of Default for Low Default Portfolios -- Rösch D., Scheule, H.: A Multi-Factor Approach for Systematic Default and Recovery Risk -- Hamerle A., Knapp M., Wildenauer N.: Modelling Loss Given Default: A "Point in Time"-Approach -- Peter C.: Estimation Loss Given Default: Experiences from Banking Practice -- Gruber W., Parchert R.: Overview of EAD Estimation Concepts -- Moral G.: EAD Estimates for Facilities with Explicit Limits -- Blochwitz S., Hohl S.: Validation of Banks "Internal Rating Systems": A Supervisory Perspective -- Engelmann B.: Measures of a Rating's Discriminative Power: Applications and Limitations -- Blochwitz S., Martin M.R.W., Wehn C.S.: Statistical Approaches to PD Validation -- Rauhmeier, R.: PD-Validation: Expericence from Banking Practice -- Grundlach V.M.: Development of Stress Tests for Credit Portfolios
Control code
SPR209953593
Dimensions
unknown
Extent
1 online resource (xv, 376 pages)
Form of item
online
Isbn
9783540330875
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
Reproduction note
Electronic reproduction.
Specific material designation
remote
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

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