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

Avainsanat: Economics/Management Science, Finance/Investment/Banking, Management/Business for Professionals, Quantitative Finance, Econometrics