The Basel II Risk Parameters Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

The Basel II Risk Parameters Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

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...

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Bibliographic Details
Corporate Author: SpringerLink (Online service)
Other Authors: Engelmann, Bernd (Editor), Rauhmeier, Robert (Editor)
Format: Electronic Resource
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2011.
Subjects:
Econometrics.
Industrial management.
Credit > Mathematical models.
Risk > Mathematical models.
Credit ratings > Mathematical models.
Electronic books.
Online Access:Available for University of the Philippines Diliman via SpringerLink. Click here to access