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Evelyn Hayden
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دانلود کتاب The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
by Evelyn Hayden|
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عنوان فارسی: پارامترهای ریسک بازل II: برآورد اعتبار سنجی و تست استرس |
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جزییات کتاب
A critical problem in the practice of banking risk assessment is the estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default). These sophisticated parameters are used on the one hand as analysis tools in the modeling of credit portfolio, and are also used to compute regulatory capital according to the new Basel rules. This book offers comprehensive coverage of the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD. This timely and practical monograph concludes with a chapter on stress testing of the Basel II risk parameters.
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