| 書(shū)目名稱 | The Basel II Risk Parameters | | 副標(biāo)題 | Estimation, Validati | | 編輯 | Bernd Engelmann,Robert Rauhmeier | | 視頻video | http://file.papertrans.cn/905/904936/904936.mp4 | | 概述 | Insights into credit portfolio models and the Basel II framework.Diverse perspectives through articles from supervisors, researchers and practitioners | | 圖書(shū)封面 |  | | 描述 | In the last decade the banking industry has experienced a significant development in the understanding of credit risk. Refined methods were proposed concerning the estimation of key risk parameters like default probabilities. Further, a large v- ume of literature on the pricing and measurement of credit risk in a portfolio c- text has evolved. This development was partly reflected by supervisors when they agreed on the new revised capital adequacy framework, Basel II. Under Basel II, the level of regulatory capital depends on the risk characteristics of each credit while a portfolio context is still neglected. 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. A ‘best practice’ approach has to be formed and will be refined in the future even beyond 2007. With this book we aim to c | | 出版日期 | Book 20061st edition | | 關(guān)鍵詞 | Banking; Basel II; Basle II; Credit Portfolio Models; Default Probability Estimations; Rating Systems; Ris | | 版次 | 1 | | doi | https://doi.org/10.1007/3-540-33087-9 | | isbn_ebook | 978-3-540-33087-5 | | copyright | Springer-Verlag Berlin Heidelberg 2006 |
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