Basel II Risk Parameters

Basel II Risk Parameters

AngličtinaMäkká väzbaTlač na objednávku
Springer, Berlin
EAN: 9783642442353
Tlač na objednávku
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Podrobné informácie

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, 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.

EAN 9783642442353
ISBN 3642442358
Typ produktu Mäkká väzba
Vydavateľ Springer, Berlin
Dátum vydania 11. októbra 2014
Stránky 426
Jazyk English
Rozmery 235 x 155
Krajina Germany
Čitatelia Professional & Scholarly
Ilustrácie XIV, 426 p.
Editori Engelmann Bernd; Rauhmeier Robert
Edícia 2nd ed. 2011