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The Basel II Risk Parameters

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

  • Bernd Engelmann
  • Robert Rauhmeier

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Evelyn Hayden, Daniel Porath
    Pages 1-12
  3. Daniel Porath
    Pages 25-36
  4. Bernd Engelmann, Konstantin Ermakov
    Pages 103-116
  5. Daniel Rösch, Harald Scheule
    Pages 117-135
  6. Alfred Hamerle, Michael Knapp, Nicole Wildenauer
    Pages 137-150
  7. Ronny Hahn, Stefan Reitz
    Pages 185-200
  8. Stefan Blochwitz, Marcus R. W. Martin, Carsten S. Wehn
    Pages 293-309
  9. Robert Rauhmeier
    Pages 311-347
  10. Volker Matthias Gundlach
    Pages 349-371
  11. Bernd Engelmann, Walter Gruber
    Pages 373-390
  12. Bernd Engelmann
    Pages 391-414
  13. Back Matter
    Pages 415-426

About this book

Introduction

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.

Keywords

Basel II Basle II Credit Risk Management Defaut Probability Estimation Exposure at Default Estimation Loss Given Default Estimation

Editors and affiliations

  • Bernd Engelmann
    • 1
  • Robert Rauhmeier
    • 2
  1. 1.Frankfurt am MainGermany
  2. 2.UniCredit Bank AGMünchenGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-16114-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 2011
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-642-16113-1
  • Online ISBN 978-3-642-16114-8
  • Buy this book on publisher's site