| 書目名稱 | The Basel II Risk Parameters |
| 副標題 | Estimation, Validati |
| 編輯 | Bernd Engelmann,Robert Rauhmeier |
| 視頻video | http://file.papertrans.cn/905/904935/904935.mp4 |
| 概述 | Insights into credit portfolio models and the Basel II framework.Diverse perspectives through articles from supervisors, researchers and practitioners.New edition: With 3 additional chapters on loan r |
| 圖書封面 |  |
| 描述 | .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. . |
| 出版日期 | Book 2011Latest edition |
| 關(guān)鍵詞 | Basel II; Basle II; Credit Risk Management; Defaut Probability Estimation; Exposure at Default Estimatio |
| 版次 | 2 |
| doi | https://doi.org/10.1007/978-3-642-16114-8 |
| isbn_softcover | 978-3-642-44235-3 |
| isbn_ebook | 978-3-642-16114-8 |
| copyright | Springer-Verlag Berlin Heidelberg 2011 |
|Archiver|手機版|小黑屋|
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