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

By Robert Rauhmeier and Bernd Engelmann

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 3642442358
• ISBN13: 9783642442353
• Release Date: October 2014
• Publisher: Springer
• Length: 426 Pages
• Weight: 1.35 lbs.
• Dimensions: 0.9" x 6.1" x 9.2"