The Basel Ii Risk Parameters
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The Basel II Risk Parameters
Author | : Bernd Engelmann,Robert Rauhmeier |
Publsiher | : Springer Science & Business Media |
Total Pages | : 432 |
Release | : 2011-03-31 |
Genre | : Business & Economics |
ISBN | : 9783642161148 |
Download The Basel II Risk Parameters Book in PDF, Epub and Kindle
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.
The Basel II Risk Parameters
Author | : Bernd Engelmann,Robert Rauhmeier |
Publsiher | : Springer Science & Business Media |
Total Pages | : 376 |
Release | : 2006-08-25 |
Genre | : Business & Economics |
ISBN | : 9783540330875 |
Download The Basel II Risk Parameters Book in PDF, Epub and Kindle
A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). This book presents the state-of-the-art in designing and validating rating systems and default probability estimations, and outlines techniques to estimate LGD and EAD. Also included is a chapter on stress testing of the Basel II risk parameters.
The Basel II Risk Parameters
Author | : Bernd Engelmann,Robert Rauhmeier |
Publsiher | : Springer |
Total Pages | : 426 |
Release | : 2011-04-18 |
Genre | : Business & Economics |
ISBN | : 3642161138 |
Download The Basel II Risk Parameters Book in PDF, Epub and Kindle
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.
International Convergence of Capital Measurement and Capital Standards
Author | : Anonim |
Publsiher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9789291316694 |
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Guide to Optimal Operational Risk and BASEL II
Author | : Ioannis S. Akkizidis,Vivianne Bouchereau |
Publsiher | : CRC Press |
Total Pages | : 440 |
Release | : 2005-11-01 |
Genre | : Business & Economics |
ISBN | : 9781420031140 |
Download Guide to Optimal Operational Risk and BASEL II Book in PDF, Epub and Kindle
Guide to Optimal Operational Risk and Basel II presents the key aspects of operational risk management that are also aligned with the Basel II requirements. This volume provides detailed guidance for the design and implementation of an efficient operational risk management system. It contains all elements of assessment, including operational risk i
Operational Risk
Author | : Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi |
Publsiher | : John Wiley & Sons |
Total Pages | : 415 |
Release | : 2008-05-14 |
Genre | : Business & Economics |
ISBN | : 9780470410547 |
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While operational risk has long been regarded as a mere part of "other" risks--outside the realm of credit and market risk--it has quickly made its way to the forefront of finance. In fact, with implementation of the Basel II Capital Accord already underway, many financial professionals--as well as those preparing to enter this field--must now become familiar with a variety of issues related to operational risk modeling and management. Written by the experienced team of Anna Chernobai, Svetlozar Rachev, and Frank Fabozzi, Operational Risk will introduce you to the key concepts associated with this discipline. Filled with in-depth insights, expert advice, and innovative research, this comprehensive guide not only presents you with an abundant amount of information regarding operational risk, but it also walks you through a wide array of examples that will solidify your understanding of the issues discussed. Topics covered include: The main challenges that exist in modeling operational risk. The variety of approaches used to model operational losses. Value-at-Risk and its role in quantifying and managing operational risk. The three pillars of the Basel II Capital Accord. And much more.
The Validation of Risk Models
Author | : S. Scandizzo |
Publsiher | : Springer |
Total Pages | : 242 |
Release | : 2016-07-01 |
Genre | : Business & Economics |
ISBN | : 9781137436962 |
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This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.
The Basel Handbook
Author | : Michael K. Ong |
Publsiher | : Unknown |
Total Pages | : 710 |
Release | : 2007 |
Genre | : Asset-liability management |
ISBN | : STANFORD:36105124072088 |
Download The Basel Handbook Book in PDF, Epub and Kindle
Comprehensively researched, this volume assists and advises the financial practitioner of every possible consequence of the latest Basel Accord - including advice on the implementation of systems affected by the Accord's various regulations.