The Basel II Risk Parameters.cBernd Engelmann
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Author: Bernd Engelmann
Page Count: 440 pages
Published Date: 10 Jun 2011
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Publication Country: Berlin, Germany
Language: English
ISBN: 9783642161131
File Name: The.Basel.II.Risk.Parameters.pdf
Download Link: The Basel II Risk Parameters
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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.
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