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Engelmann, Bernd

The Basel II Risk Parameters

Engelmann, Bernd - The Basel II Risk Parameters, ebook

74,40€

Ebook, PDF with Adobe DRM
ISBN: 9783540330875
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Table of contents

1. Statistical Methods to Develop Rating Models
Evelyn Hayden, Daniel Porath

2. Estimation of a Rating Model for Corporate Exposures
Evelyn Hayden

3. Scoring Models for Retail Exposures
Daniel Porath

4. The Shadow Rating Approach — Experience from Banking Practice
Ulrich Erlenmaier

5. Estimating Probabilities of Default for Low Default Portfolios
Katja Pluto, Dirk Tasche

6. A Multi-Factor Approach for Systematic Default and Recovery Risk
Daniel Rösch, Harald Scheule

7. Modelling Loss Given Default: A “Point in Time”-Approach
Alfred Hamerle, Michael Knapp, Nicole Wildenauer

8. Estimating Loss Given Default — Experiences from Banking Practice
Christian Peter

9. Overview of EAD Estimation Concepts
Walter Gruber, Ronny Parchert

10. EAD Estimates for Facilities with Explicit Limits
Gregorio Moral

11. Validation of Banks’ Internal Rating Systems - A Supervisory Perspective
Stefan Blochwitz, Stefan Hohl

12. Measures of a Rating’s Discriminative Power — Applications and Limitations
Bernd Engelmann

13. Statistical Approaches to PD Validation
Stefan Blochwitz, Marcus R. W. Martin, Carsten S. Wehn

14. PD-Validation — Experience from Banking Practice
Robert Rauhmeier

15. Development of Stress Tests for Credit Portfolios
Volker Matthias Gundlach

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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000

Author(s)
 
Publisher
Springer
Publication year
2006
Language
en
Edition
1
Category
Economy
Format
Ebook
eISBN (PDF)
9783540330875

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