Produktinformation

• Amazon-Verkaufsrang: #214068 in Bücher
• Veröffentlicht am: 2006-07-20
• Abmessungen: 1.07" h x 6.32" b x 9.38" l, 1.59 Pfund
• Einband: Gebundene Ausgabe
• 376 Seiten

Pressestimmen
From the reviews: "This book compiles articles by various authors addressing estimation of three key risk parameters: probability of default (PD), loss given default (LGD), and exposure at default (EAD). … The authors identify their intended audience as risk managers and quantitative risk or ratings analysts working on credit risk and regulatory issues. These groups likely will find this book an accessible reference … . The exposition related to regulatory issues is quite good and worthwhile for all." (Keith Heyen, Journal of the American Statistical Association, Vol. 103 (483), September, 2008)

Kurzbeschreibung
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.

Synopsis
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.