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.
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The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
Librería: HPB-Red, Dallas, TX, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
paperback. Condición: Good. Connecting readers with great books since 1972! Used textbooks may not include companion materials such as access codes, etc. May have some wear or writing/highlighting. We ship orders daily and Customer Service is our top priority! Nº de ref. del artículo: S_366975046
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