The Basel II Risk Parameters

The Basel II Risk Parameters




About this book

The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), 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, on the other to compute regulatory capital according to the new Basel rules. The 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. A chapter on stress testing of the Basel II risk parameters concludes the monograph.

Written for:
Professionals in the fields of Credit Risk Management and Controlling as well as Portfolio Modelling, Banking Supervisors
Basel II
Basle II
Credit Portfolio Models
Default Probability Estimations
Rating Systems
Risk Management
Risk Parameters
Stress Testing



Published by
Published 01 January 2006
Reads 3
EAN13 3540330879
Language English

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The Basel II Risk Parameters