Publish Date: 2006
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The focus of this book is on the estimation and validation of the three key Basel II risk parameters, probability of default (PD), loss given default (LGD), and ex- sure at default (EAD). Since the new regulatory framework will become operative in January 2007 (at least in Europe), many banks are in the final stages of imp- mentation. Many questions have arisen during the implementation phase and are discussed by practitioners, supervisors, and academics.
Subject: Business and Economics, Banking, Basel II, Basle II, Credit Portfolio Models, Default Probability Estimations, Rating Systems, Risk Management, Risk Parameters, Stress Testing, Validation, development, modeling, statistical method