The Basel II Risk Parameters

The Basel II Risk Parameters
Author: Bernd Engelmann
Publisher: Springer Science & Business Media
Total Pages: 432
Release: 2011-03-31
Genre: Business & Economics
ISBN: 3642161146


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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.


The Basel II Risk Parameters
Language: en
Pages: 432
Authors: Bernd Engelmann
Categories: Business & Economics
Type: BOOK - Published: 2011-03-31 - Publisher: Springer Science & Business Media

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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 importan
The Basel II Risk Parameters
Language: en
Pages: 384
Authors: Bernd Engelmann
Categories: Business & Economics
Type: BOOK - Published: 2006-08-24 - Publisher: Springer Science & Business Media

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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 (lo
International Convergence of Capital Measurement and Capital Standards
Language: en
Pages: 294
Authors:
Categories: Bank capital
Type: BOOK - Published: 2004 - Publisher: Lulu.com

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Revisiting Risk-Weighted Assets
Language: en
Pages: 50
Authors: Vanessa Le Leslé
Categories: Business & Economics
Type: BOOK - Published: 2012-03-01 - Publisher: International Monetary Fund

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In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdiction
Operational Risk
Language: en
Pages: 415
Authors: Anna S. Chernobai
Categories: Business & Economics
Type: BOOK - Published: 2008-05-14 - Publisher: John Wiley & Sons

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While operational risk has long been regarded as a mere part of "other" risks--outside the realm of credit and market risk--it has quickly made its way to the f