Basel ii risk parameters, the: estimation, validation, stress testing - with applications to loan risk management
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783642161131
Date de publication :
18 avr. 2011
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
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.