eShop USA > Books > The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
from: Springer
Price: $112.43 Prices subject to change.
Availability: Usually ships in 1-2 business days
Binding: Hardcover
Dewey Decimal Number: 332.7015195
EAN: 9783540330851
Edition: 1
ISBN: 3540330852
Label: Springer
Manufacturer: Springer
Number Of Items: 1
Number Of Pages: 376
Publication Date: August 29, 2006
Publisher: Springer
Studio: Springer
Accessories:
Related Items:
Editorial Review:The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), 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, on the other to compute regulatory capital according to the new Basel rules. The 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. A chapter on stress testing of the Basel II risk parameters concludes the monograph.
Customer Reviews
Average Rating: 
Rating: - A good introduction
For anyone who needs to learn the financial philosophy and mathematical formalism behind the Basel II accords, this book will be an excellent introduction. Consisting of a collection of articles written competently and concisely, the book should be on the shelf of those who are not only responsible for implementing the Basel II accords but also work in the trenches on how to validate it with respect to the banking institutions in which they are employed. The technical details behind the ... Read More
Rating: - Good practice cooke book
Good by all segments of Basel II risk components. Especially on EAD, LGD and partly on retail the domains not so frequently worked out in other similar book. Perhaps some more effort on retail, concentrationa and economic capital. But that could be a new book allready. Stress test domain is good example.
Related Categories:
|
![The Thing [HD DVD]](http://ecx.images-amazon.com/images/I/51CVW5MTMVL._SL75_.jpg
)
