• 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

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The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) all play important roles on banking practice. This volume presents up-to-date designing and validating rating systems and default probability estimations.

Book Description

The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) all play important roles on banking practice. This volume presents up-to-date designing and validating rating systems and default probability estimations.

Book Detail

  • Book Title

    The Basel II Risk Parameters: Estimation, Valid...

  • Author

    Bernd Engelmann, Robert Rauhmeier

  • Book Type

    Business And Accounts

  • Date Published

    April 18, 2011

  • Specification

    Management And Technology

  • Pages

    426 Pages

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