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Sinopsis
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.
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Críticas
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)
Reseña del editor
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.
"Sobre este título" puede pertenecer a otra edición de este libro.
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The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
Librería: Bookbot, Prague, Republica Checa
Calificación del vendedor: 5 de 5 estrellas
Hardcover. Condición: Fine. Leichte Gebrauchsspuren; Leichte Verformung / umgeknickte Seiten. 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. Nº de ref. del artículo: a28c9bb6-9551-4b19-9456-1fc1bb9e7ad2
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The basel II risk parameters estimation, validation, and stress testing
Publicado por
Springer International Publishing AG, Frankfurt, 2006
ISBN 10: 3540330852
ISBN 13: 9783540330851
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Librería: MARCIAL PONS LIBRERO, MADRID, M, España
Calificación del vendedor: 4 de 5 estrellas
TAPA DURA. Condición: New. Nº de ref. del artículo: 100777157
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The Basel II Risk Parameters: Estimation, Validation, and Stress Testing Berndt Engelmann
Librería: BUCHSERVICE / ANTIQUARIAT Lars Lutzer, Wahlstedt, Alemania
Calificación del vendedor: 5 de 5 estrellas
Hardcover. Condición: gut. 2006. The Basel II Risk Parameters: Estimation, Validation, and Stress Testing In deutscher Sprache. pages. Nº de ref. del artículo: BN578994
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