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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| Format: | Electronic eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2011.
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| Online Access: | Full Text via HEAL-Link |
