The Basel II Risk Parameters Estimation, Validation, and Stress Testing 1st Edition
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The Basel II Risk Parameters Estimation, Validation, and Stress Testing 1st Edition

SKU: 9783540330875

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Additional information

Full Title

The Basel II Risk Parameters Estimation, Validation, and Stress Testing 1st Edition
Author(s)

Bernd Engelmann, ‎Robert Rauhmeier
Edition

1st Edition
ISBN

9783540330875, 9783540330851
Publisher

Springer
Format

PDF and EPUB

Description

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.