2011

The Basel II Risk Parameters

Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

Editors:

ISBN: 978-3-642-16113-1 (Print) 978-3-642-16114-8 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages i-xiv

  2. No Access

    Book Chapter

    Pages 1-12

    Statistical Methods to Develop Rating Models

  3. No Access

    Book Chapter

    Pages 13-24

    Estimation of a Rating Model for Corporate Exposures

  4. No Access

    Book Chapter

    Pages 25-36

    Scoring Models for Retail Exposures

  5. No Access

    Book Chapter

    Pages 37-74

    The Shadow Rating Approach: Experience from Banking Practice

  6. No Access

    Book Chapter

    Pages 75-101

    Estimating Probabilities of Default for Low Default Portfolios

  7. No Access

    Book Chapter

    Pages 103-116

    Transition Matrices: Properties and Estimation Methods

  8. No Access

    Book Chapter

    Pages 117-135

    A Multi-factor Approach for Systematic Default and Recovery Risk

  9. No Access

    Book Chapter

    Pages 137-150

    Modelling Loss Given Default: A “Point in Time”-Approach

  10. No Access

    Book Chapter

    Pages 151-183

    Estimating Loss Given Default: Experience from Banking Practice

  11. No Access

    Book Chapter

    Pages 185-200

    Possibilities of Estimating Exposures

  12. No Access

    Book Chapter

    Pages 201-246

    EAD Estimates for Facilities with Explicit Limits

  13. No Access

    Book Chapter

    Pages 247-267

    Validation of Banks’ Internal Rating Systems: A Supervisory Perspective

  14. No Access

    Book Chapter

    Pages 269-291

    Measures of a Rating’s Discriminative Power: Applications and Limitations

  15. No Access

    Book Chapter

    Pages 293-309

    Statistical Approaches to PD Validation

  16. No Access

    Book Chapter

    Pages 311-347

    PD-Validation: Experience from Banking Practice

  17. No Access

    Book Chapter

    Pages 349-371

    Development of Stress Tests for Credit Portfolios

  18. No Access

    Book Chapter

    Pages 373-390

    Risk Management of Loans and Guarantees

  19. No Access

    Book Chapter

    Pages 391-414

    Risk Management of Loans with Embedded Options

  20. Back Matter

    Pages 415-426