عنوان
پدید آورنده
موضوع
رده
HG3701 .B27 2011
HG3701
.
B27
2011
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
3642161146
(Number (ISBN
9783642161148
Erroneous ISBN
3642161138
Erroneous ISBN
9783642161131
NATIONAL BIBLIOGRAPHY NUMBER
Number
b731135
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
The Basel II risk parameters :
General Material Designation
[Book]
Other Title Information
estimation, validation, stress testing - with applications to loan risk management /
First Statement of Responsibility
Bernd Engelmann, Robert Rauhmeier, editors.
EDITION STATEMENT
Edition Statement
2nd ed.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
New York :
Name of Publisher, Distributor, etc.
Springer,
Date of Publication, Distribution, etc.
2011.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource :
Other Physical Details
illustrations
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index.
CONTENTS NOTE
Text of Note
Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- Scoring Models for Retail 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: Experience 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.
0
SUMMARY OR ABSTRACT
Text of Note
Annotation 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.
ACQUISITION INFORMATION NOTE
Source for Acquisition/Subscription Address
Springer
Stock Number
978-3-642-16113-1
OTHER EDITION IN ANOTHER MEDIUM
Title
Basel II risk parameters.
TOPICAL NAME USED AS SUBJECT
Credit-- Mathematical models.
Credit ratings-- Mathematical models.
Econometrics.
Industrial management.
Risk-- Mathematical models.
Affaires.
BUSINESS & ECONOMICS-- Finance.
Credit-- Mathematical models.
Econometrics.
Industrial management.
Risk-- Mathematical models.
Science économique.
(SUBJECT CATEGORY (Provisional
BUS-- 027000
DEWEY DECIMAL CLASSIFICATION
Number
332
.
701/5195
Edition
22
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG3701
Book number
.
B27
2011
PERSONAL NAME - PRIMARY RESPONSIBILITY
Engelmann, Bernd.
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Rauhmeier, Robert.
ORIGINATING SOURCE
Date of Transaction
20201203143235.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
