The Basel II Risk Parameters Estimation, Validation, Stress Testing - with Applications to Loan Risk Management /

The Basel II Risk Parameters Estimation, Validation, Stress Testing - with Applications to Loan Risk Management /

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...

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Bibliographic Details
Corporate Author: SpringerLink (Online service)
Other Authors: Engelmann, Bernd (Editor), Rauhmeier, Robert (Editor)
Format: Electronic eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
Subjects:
Finance.
Management.
Economics, Mathematical.
Econometrics.
Finance, general.
Quantitative Finance.
Online Access:Full Text via HEAL-Link

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Full Text via HEAL-Link

ΒΚΠ - Πατρα: ALFd

Holdings details from ΒΚΠ - Πατρα: ALFd
Call Number: 330.01 BAU
Copy 1 Available

ΒΚΠ - Πατρα: BSC

Holdings details from ΒΚΠ - Πατρα: BSC
Call Number: 330.01 BAU
Copy 2 Available
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