Vorliegende Sprache |
eng |
Hinweise auf parallele Ausgaben |
330860399 Buchausg. u.d.T.: ‡¬The¬ Basel II risk parameters |
ISBN |
978-3-642-16113-1 |
Name |
Engelmann, Bernd |
Rauhmeier, Robert |
ANZEIGE DER KETTE |
Rauhmeier, Robert |
T I T E L |
¬The¬ Basel II Risk Parameters |
Zusatz zum Titel |
Estimation, Validation, Stress Testing - with Applications to Loan Risk Management |
Verlagsort |
Berlin, Heidelberg |
Verlag |
Springer-Verlag Berlin Heidelberg |
Erscheinungsjahr |
2011 |
2011 |
Umfang |
Online-Ressource (XIV, 426p, digital) |
Reihe |
SpringerLink. Bücher |
Notiz / Fußnoten |
Description based upon print version of record |
Weiterer Inhalt |
The Basel II Risk Parameters; Preface to the Second Edition; Preface to the First Edition; Contents; Contributors; Chapter 1: Statistical Methods to Develop Rating Models; Chapter 2: Estimation of a Rating Model for Corporate Exposures; Chapter 3: Scoring Models for Retail Exposures; Chapter 4: The Shadow Rating Approach: Experience from Banking Practice; Chapter 5: Estimating Probabilities of Default for Low Default Portfolios; Chapter 6: Transition Matrices: Properties and Estimation Methods; Chapter 7: A Multi-factor Approach for Systematic Default and Recovery Risk. Chapter 8: Modelling Loss Given Default: A ``Point in Time´´-ApproachChapter 9: Estimating Loss Given Default: Experience from Banking Practice; Chapter 10: Possibilities of Estimating Exposures; Chapter 11: EAD Estimates for Facilities with Explicit Limits; Chapter 12: Validation of Banks´ Internal Rating Systems: A Supervisory Perspective; Chapter 13: Measures of a Rating´s Discriminative Power: Applications and Limitations; Chapter 14: Statistical Approaches to PD Validation; Chapter 15: PD-Validation: Experience from Banking Practice. Chapter 16: Development of Stress Tests for Credit PortfoliosChapter 17: Risk Management of Loans and Guarantees; Chapter 18: Risk Management of Loans with Embedded Options; About the Authors; Index; |
Titelhinweis |
Buchausg. u.d.T.: ‡¬The¬ Basel II risk parameters |
ISBN |
ISBN 978-3-642-16114-8 |
Klassifikation |
KFFK |
BUS004000 |
KFF |
BUS027000 |
657.8333 |
658.152 |
332.1 |
332 |
332.701/5195 |
HG1-9999 |
HG4501-6051 |
HG1501-HG3550 |
QK 320 |
Kurzbeschreibung |
Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios -- Transition Matrices: Properties and Estimation Methods -- A Multi-Factor Approach for Systematic Default and Recovery Risk -- Modelling Loss Given Default: A "Point in Time"-Approach -- Estimating Loss Given Default - Experiences from Banking Practice -- Possibilities of Estimating Exposures -- EAD Estimates for Facilities with Explicit Limits -- Validation of Banks' Internal Rating Systems - A Supervisory Perspective -- Measures of a Rating' s Discriminative Power - Applications and Limitations -- Statistical Approaches to PD Validation -- PD-Validation - Experience from Banking Practice -- Development of Stress Tests for Credit Portfolios -- Risk Management of Loans and Guarantees -- Risk Management of Loans with Embedded Options |
2. Kurzbeschreibung |
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 |
1. Schlagwortkette |
Basler Eigenkapitalvereinbarung |
Bank |
Kreditrisiko |
Messung |
Risikomanagement |
1. Schlagwortkette ANZEIGE DER KETTE |
Basler Eigenkapitalvereinbarung -- Bank -- Kreditrisiko -- Messung -- Risikomanagement |
2. Schlagwortkette |
Basler Eigenkapitalvereinbarung |
Bank |
Kreditrisiko |
Messung |
Risikomanagement |
ANZEIGE DER KETTE |
Basler Eigenkapitalvereinbarung -- Bank -- Kreditrisiko -- Messung -- Risikomanagement |
SWB-Titel-Idn |
339786655 |
Signatur |
Springer E-Book |
Bemerkungen |
Elektronischer Volltext - Campuslizenz |
Elektronische Adresse |
$uhttp://dx.doi.org/10.1007/978-3-642-16114-8 |
Internetseite / Link |
Volltext |
Siehe auch |
Volltext |