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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

Paperback

EconomicsInvesting & FinanceManagement

ISBN10: 3642442358
ISBN13: 9783642442353
Publisher: Springer Nature
Published: Oct 11 2014
Pages: 426
Weight: 1.35
Height: 0.90 Width: 6.14 Depth: 9.21
Language: English
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.

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