ENGLISH

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

By Evelyn Hayden , Daniel Porath (auth.) , Bernd Engelmann , Robert Rauhmeier (eds.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2011
ISBN
3642161138, 9783642161131
DOI
10.1007/978-3-642-16114-8
Google Books ID
CnWccQAACAAJ
Language
english
Format
PDF
Filesize
4 MB (3880039 bytes)
Edition
2
Pages
426\435
Topic
Business Management
Orientation
yes
Scanned
no
Time added
2011-08-31 04:54:40
Finance/Investment/Banking; Management/Business fo

Description

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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