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The Basel II Risk Parameters

Estimation, Validation, and Stress Testing

Editors: Engelmann, Bernd, Rauhmeier, Robert (Eds.)

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  • ISBN 978-3-540-33087-5
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About this book

In the last decade the banking industry has experienced a significant development in the understanding of credit risk. Refined methods were proposed concerning the estimation of key risk parameters like default probabilities. Further, a large v- ume of literature on the pricing and measurement of credit risk in a portfolio c- text has evolved. This development was partly reflected by supervisors when they agreed on the new revised capital adequacy framework, Basel II. Under Basel II, the level of regulatory capital depends on the risk characteristics of each credit while a portfolio context is still neglected. The focus of this book is on the estimation and validation of the three key Basel II risk parameters, probability of default (PD), loss given default (LGD), and ex- sure at default (EAD). Since the new regulatory framework will become operative in January 2007 (at least in Europe), many banks are in the final stages of imp- mentation. Many questions have arisen during the implementation phase and are discussed by practitioners, supervisors, and academics. A ‘best practice’ approach has to be formed and will be refined in the future even beyond 2007. With this book we aim to contribute to this process. Although the book is inspired by the new capital framework, we hope that it is valuable in a broader context. The three risk parameters are central inputs to credit portfolio models or credit pricing al- rithms and their correct estimation is therefore essential for internal bank contr- ling and management.

Reviews

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)


Table of contents (15 chapters)

Table of contents (15 chapters)
  • Statistical Methods to Develop Rating Models

    Pages 1-12

    Hayden, Evelyn (et al.)

  • Estimation of a Rating Model for Corporate Exposures

    Pages 13-24

    Hayden, Evelyn

  • Scoring Models for Retail Exposures

    Pages 25-37

    Porath, Daniel

  • The Shadow Rating Approach — Experience from Banking Practice

    Pages 39-77

    Erlenmaier, Ulrich

  • Estimating Probabilities of Default for Low Default Portfolios

    Pages 79-103

    Pluto, Katja (et al.)

Buy this book

eBook $59.99
price for USA
  • ISBN 978-3-540-33087-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase Institutional customers should get in touch with their account manager

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Bibliographic Information

Bibliographic Information
Book Title
The Basel II Risk Parameters
Book Subtitle
Estimation, Validation, and Stress Testing
Editors
  • Bernd Engelmann
  • Robert Rauhmeier
Copyright
2006
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-33087-5
DOI
10.1007/3-540-33087-9
Edition Number
1
Number of Pages
XVI, 376
Topics