عنوان

The Basel II risk parameters :

شابک

3642161146

شابک

9783642161148

شابک اشتباه

3642161138

شابک اشتباه

9783642161131

شماره

b731135

عنوان اصلي

The Basel II risk parameters :

نام عام مواد

[Book]

ساير اطلاعات عنواني

estimation, validation, stress testing - with applications to loan risk management /

نام نخستين پديدآور

Bernd Engelmann, Robert Rauhmeier, editors.

وضعيت ويراست

2nd ed.

محل نشرو پخش و غیره

New York :

نام ناشر، پخش کننده و غيره

Springer,

تاریخ نشرو بخش و غیره

2011.

نام خاص و کميت اثر

1 online resource :

ساير جزييات

illustrations

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

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.

بدون عنوان

0

متن يادداشت

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.

منبع سفارش / آدرس اشتراک

Springer

شماره انبار

978-3-642-16113-1

عنوان

Basel II risk parameters.

موضوع مستند نشده

Credit-- Mathematical models.

موضوع مستند نشده

Credit ratings-- Mathematical models.

موضوع مستند نشده

Econometrics.

موضوع مستند نشده

Industrial management.

موضوع مستند نشده

Risk-- Mathematical models.

موضوع مستند نشده

Affaires.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Finance.

موضوع مستند نشده

Credit-- Mathematical models.

موضوع مستند نشده

Econometrics.

موضوع مستند نشده

Industrial management.

موضوع مستند نشده

Risk-- Mathematical models.

موضوع مستند نشده

Science économique.

موضوع مستند نشده

BUS-- 027000

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Engelmann, Bernd.

مستند نام اشخاص تاييد نشده

Rauhmeier, Robert.

تاريخ عمليات

20201203143235.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y