Engelmann, Bernd
The Basel II Risk Parameters
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. Transition Matrices: Properties and Estimation Methods
Bernd Engelmann, Konstantin Ermakov
7. A Multi-factor Approach for Systematic Default and Recovery Risk
Daniel Rösch, Harald Scheule
8. Modelling Loss Given Default: A “Point in Time”-Approach
Alfred Hamerle, Michael Knapp, Nicole Wildenauer
9. Estimating Loss Given Default: Experience from Banking Practice
Christian Peter
10. Possibilities of Estimating Exposures
Ronny Hahn, Stefan Reitz
11. EAD Estimates for Facilities with Explicit Limits
Gregorio Moral
12. Validation of Banks’ Internal Rating Systems: A Supervisory Perspective
Stefan Blochwitz, Stefan Hohl
13. Measures of a Rating’s Discriminative Power: Applications and Limitations
Bernd Engelmann
14. Statistical Approaches to PD Validation
Stefan Blochwitz, Marcus R. W. Martin, Carsten S. Wehn
15. PD-Validation: Experience from Banking Practice
Robert Rauhmeier
16. Development of Stress Tests for Credit Portfolios
Volker Matthias Gundlach
17. Risk Management of Loans and Guarantees
Bernd Engelmann, Walter Gruber
18. Risk Management of Loans with Embedded Options
Bernd Engelmann
Keywords: Economics/Management Science, Finance/Investment/Banking, Management/Business for Professionals, Quantitative Finance, Econometrics
- Author(s)
- Engelmann, Bernd
- Rauhmeier, Robert
- Publisher
- Springer
- Publication year
- 2011
- Language
- en
- Edition
- 1
- Page amount
- 14 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9783642161148