The Basel II Risk Parameters

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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