Rezension

The Basel II Risk Parameters – Estimation, Validation, and Stress Testing

B. Engelmann, R. Rauhmeier (Hrsg.), 376 p., Springer Verlag, Berlin 2006.08.12.2006, 07:00

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.

 

 

 

 

 


 
Inhaltsverzeichnis:

  • Hayden E., Porath, D.: Statistical Methods to Develop Rating Models.
  • Hayden E.:  Estimation of a Rating Model for Corporate Exposures.
  • Porath, D.:  Scoring Models for Retail Exposures.
  • Erlenmaier, U.: The Shadow Rating Approach: Experience from Banking Practice.
  • Pluto K., Tasche, D.: Estimation Probabilities of Default for Low Default Portfolios.
  • Rösch D., Scheule, H.: A Multi-Factor Approach for Systematic Default and Recovery Risk.
  • Hamerle A., Knapp M., Wildenauer N.: Modelling Loss Given Default: A "Point in Time"Approach.
  • Peter C.: Estimation Loss Given Default: Experiences from Banking Practice.
  • Gruber W., Parchert R.: Overview of EAD Estimation Concepts.
  • Moral G.: EAD Estimates for Facilities with Explicit Limits.
  • Blochwitz S., Hohl S.: Validation of Banks "Internal Rating Systems": A Supervisory Perspective.
  • Engelmann B.: Measures of a Rating's Discriminative Power: Applications and Limitations.
  • Blochwitz S., Martin M.R.W., Wehn C.S.: Statistical Approaches to PD Validation.
  • Rauhmeier, R.: PD-Validation: Expericence from Banking Practice.
  • Grundlach V.M.: Development of Stress Tests for Credit Portfolios

 

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Hinweis: Eine ausführliche Buchbesprechung folgt in Woche 51.
 

Rezension von Dr. Uwe Wehrspohn


Details zur Publikation

Autor: B. Engelmann, R. Rauhmeier (Hrsg.)
Auflage: 376 p.
Seitenanzahl: 376
Verlag: Springer Verlag
Erscheinungsort: Berlin
Erscheinungsdatum: 2006

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