The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

2011 | 426 Pages | ISBN: 3642161138 | PDF | 4 MB

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.

Download:

http://longfiles.com/vhsxqa2kucn2/The_Basel_II_Risk_Parameters_Estimation,_Validation,_Stress_Testing_-_with_Applications_to_Loan_Risk_Management.pdf.html

[Fast Download] The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management


Related eBooks:
Explainable AI: Interpreting, Explaining and Visualizing Deep Learning
Emotional Design in Human-Robot Interaction: Theory, Methods and Applications
Nonlinear Expectations and Stochastic Calculus under Uncertainty: with Robust CLT and G-Brownian Mot
Blow-Up in Nonlinear Equations of Mathematical Physics : Theory and Methods
Robotic Building
Proof!: How the World Became Geometrical
Transformational Plane Geometry
V-Invex Functions and Vector Optimization
Kevin McCrimmon, ?A Taste of Jordan Algebras (Universitext)?
Algorithms
Lotka-volterra and Related Systems: Recent Developments in Population Dynamics
Hyperbolic Functions: -1906
Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.