The Basel II Risk Parameters

Edited by Bernd Engelmann and Robert Rauhmeier ()

in Springer Books from Springer

Date: 2006
ISBN: 978-3-540-33087-5
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Chapters in this book:

Ch I. Statistical Methods to Develop Rating Models

Evelyn Hayden and Daniel Porath

Ch II. Estimation of a Rating Model for Corporate Exposures

Evelyn Hayden

Ch III. Scoring Models for Retail Exposures

Daniel Porath

Ch IV. The Shadow Rating Approach — Experience from Banking Practice

Ulrich Erlenmaier

Ch IX. Overview of EAD Estimation Concepts

Walter Gruber and Ronny Parchert

Ch V. Estimating Probabilities of Default for Low Default Portfolios

Katja Pluto and Dirk Tasche

Ch VI. A Multi-Factor Approach for Systematic Default and Recovery Risk

Daniel Rösch and Harald Scheule

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

Alfred Hamerle, Michael Knapp and Nicole Wildenauer

Ch VIII. Estimating Loss Given Default — Experiences from Banking Practice

Christian Peter

Ch X. EAD Estimates for Facilities with Explicit Limits

Gregorio Moral

Ch XI. Validation of Banks’ Internal Rating Systems - A Supervisory Perspective

Stefan Blochwitz and Stefan Hohl

Ch XII. Measures of a Rating’s Discriminative Power — Applications and Limitations

Bernd Engelmann

Ch XIII. Statistical Approaches to PD Validation

Stefan Blochwitz, Marcus R. W. Martin and Carsten S. Wehn

Ch XIV. PD-Validation — Experience from Banking Practice

Robert Rauhmeier

Ch XV. Development of Stress Tests for Credit Portfolios

Volker Matthias Gundlach

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DOI: 10.1007/3-540-33087-9

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