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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.
Credit -- Mathematical models. --- Credit ratings -- Mathematical models. --- Risk -- Mathematical models. --- Finance --- Business & Economics --- Investment & Speculation --- Banking --- Finance - General --- Credit --- Risk --- Credit ratings --- Mathematical models. --- Commercial ratings --- Credit checks --- Credit guides --- Credit investigations --- Credit reports --- Ratings, Credit --- Finance. --- Management. --- Economics, Mathematical. --- Econometrics. --- Finance, general. --- Quantitative Finance. --- Economics, Mathematical --- Statistics --- Administration --- Industrial relations --- Organization --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Mathematics --- Methodology
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Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations. In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthermore, some models for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared. Beyond that, this book integrates economical and regulatory aspects of concentration risk and seeks to provide a systematic way to get familiar with the topic of concentration risk from the basics of credit risk modeling to present research in the measurement and management of credit risk concentrations.
Basel II (2004). --- Credit -- Management. --- Credit control -- Methodology. --- Credit ratings -- Mathematical models. --- Portfolio management. --- Credit control --- Portfolio management --- Credit ratings --- Risk management --- Finance --- Business & Economics --- Finance - General --- Credit, Debt & Loans --- Investment & Speculation --- Banking --- Methodology --- Mathematical models --- Financial risk management. --- Credit control. --- Basel II --- Investment management --- Credit --- Credit allocation --- Credit policy --- Government policy --- Bâle II --- Basel Accord --- Basel Capital Accord --- Basel II Capital Accord --- Convergence internationale de la mesure et des normes de fonds propres --- Convergencia internacional de medidas y normas de capital --- Convergenza internazionale della misurazione del capitale e dei coefficienti patrimoniali --- International Convergence of Capital Measurement and Capital Standards --- Internationale Konvergenz der Eigenkapitalmessung und der Eigenkapitalanforderungen --- Finance. --- Leadership. --- Economics, Mathematical. --- Macroeconomics. --- Finance, general. --- Business Strategy/Leadership. --- Macroeconomics/Monetary Economics//Financial Economics. --- Quantitative Finance. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Ability --- Command of troops --- Followership --- Funding --- Funds --- Currency question --- Investment analysis --- Investments --- Securities --- Monetary policy --- Economics, Mathematical . --- Basler Eigenkapitalvereinbarung <2001> --- Credit control - Methodology --- Credit ratings - Mathematical models
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