000			03576nam a22005415i 4500
001			978-3-642-16114-8
003			DE-He213
005			20140220083748.0
007			cr nn 008mamaa
008			110331s2011 gw | s |||| 0|eng d
020			_a9783642161148 _9978-3-642-16114-8
024	7		_a10.1007/978-3-642-16114-8 _2doi
050		4	_aHG1-9999
050		4	_aHG4501-6051
050		4	_aHG1501-HG3550
072		7	_aKFF _2bicssc
072		7	_aKFFK _2bicssc
072		7	_aBUS027000 _2bisacsh
072		7	_aBUS004000 _2bisacsh
082	0	4	_a657.8333 _223
082	0	4	_a658.152 _223
100	1		_aEngelmann, Bernd. _eeditor.
245	1	4	_aThe Basel II Risk Parameters _h[electronic resource] : _bEstimation, Validation, Stress Testing - with Applications to Loan Risk Management / _cedited by Bernd Engelmann, Robert Rauhmeier.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2011.
300			_aXIV, 426p. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
505	0		_aStatistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios -- Transition Matrices: Properties and Estimation Methods -- A Multi-Factor Approach for Systematic Default and Recovery Risk -- Modelling Loss Given Default: A "Point in Time"-Approach -- Estimating Loss Given Default - Experiences from Banking Practice -- Possibilities of Estimating Exposures -- EAD Estimates for Facilities with Explicit Limits -- Validation of Banks' Internal Rating Systems - A Supervisory Perspective -- Measures of a Rating' s Discriminative Power - Applications and Limitations -- Statistical Approaches to PD Validation -- PD-Validation - Experience from Banking Practice -- Development of Stress Tests for Credit Portfolios -- Risk Management of Loans and Guarantees -- Risk Management of Loans with Embedded Options.
520			_aThe 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, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
650		0	_aEconomics.
650		0	_aFinance.
650		0	_aEconometrics.
650		0	_aIndustrial management.
650	1	4	_aEconomics/Management Science.
650	2	4	_aFinance/Investment/Banking.
650	2	4	_aManagement/Business for Professionals.
650	2	4	_aQuantitative Finance.
650	2	4	_aEconometrics.
700	1		_aRauhmeier, Robert. _eeditor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783642161131
856	4	0	_uhttp://dx.doi.org/10.1007/978-3-642-16114-8
912			_aZDB-2-SBE
999			_c107120 _d107120