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The Basel II Risk Parameters

Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

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

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  • 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 risk management
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eBook $79.99
price for USA (gross)
  • ISBN 978-3-642-16114-8
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.99
price for USA
valid through March 31, 2020
  • ISBN 978-3-642-16113-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $99.99
price for USA
  • ISBN 978-3-642-44235-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

Table of contents (18 chapters)

Table of contents (18 chapters)

Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-3-642-16114-8
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.99
price for USA
valid through March 31, 2020
  • ISBN 978-3-642-16113-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $99.99
price for USA
  • ISBN 978-3-642-44235-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
The Basel II Risk Parameters
Book Subtitle
Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Editors
  • Bernd Engelmann
  • Robert Rauhmeier
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-16114-8
DOI
10.1007/978-3-642-16114-8
Hardcover ISBN
978-3-642-16113-1
Softcover ISBN
978-3-642-44235-3
Edition Number
2
Number of Pages
XIV, 426
Topics