The Basel II Risk Parameters - Estimation, Validation, and Stress Testing

by: Bernd Engelmann, Robert Rauhmeier

Springer-Verlag, 2006

ISBN: 9783540330875 , 376 Pages

Format: PDF, Read online

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Price: 62,99 EUR

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The Basel II Risk Parameters - Estimation, Validation, and Stress Testing


 

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.