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003 - CONTROL NUMBER IDENTIFIER |
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005 - DATE AND TIME OF LATEST TRANSACTION |
control field |
20140310152710.0 |
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
fixed length control field |
cr nn 008mamaa |
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110331s2011 gw | s |||| 0|eng d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
International Standard Book Number |
9783642161148 |
|
978-3-642-16114-8 |
050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
Classification number |
HG1-9999 |
|
Classification number |
HG4501-6051 |
|
Classification number |
HG1501-HG3550 |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
Classification number |
657.8333 |
Edition number |
23 |
|
Classification number |
658.152 |
Edition number |
23 |
264 #1 - |
-- |
Berlin, Heidelberg : |
-- |
Springer Berlin Heidelberg, |
-- |
2011. |
912 ## - |
-- |
ZDB-2-SBE |
100 1# - MAIN ENTRY--PERSONAL NAME |
Personal name |
Engelmann, Bernd. |
Relator term |
editor. |
245 14 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
Title |
The Basel II Risk Parameters |
Medium |
[electronic resource] : |
Remainder of title |
Estimation, Validation, Stress Testing - with Applications to Loan Risk Management / |
Statement of responsibility, etc |
edited by Bernd Engelmann, Robert Rauhmeier. |
300 ## - PHYSICAL DESCRIPTION |
Extent |
XIV, 426p. |
Other physical details |
online resource. |
505 0# - FORMATTED CONTENTS NOTE |
Formatted contents note |
Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios -- Transition Matrices: Properties and Estimation Methods -- A Multi-Factor Approach for Systematic Default and Recovery Risk -- Modelling Loss Given Default: A "Point in Time"-Approach -- Estimating Loss Given Default - Experiences from Banking Practice -- Possibilities of Estimating Exposures -- EAD Estimates for Facilities with Explicit Limits -- Validation of Banks' Internal Rating Systems - A Supervisory Perspective -- Measures of a Rating' s Discriminative Power - Applications and Limitations -- Statistical Approaches to PD Validation -- PD-Validation - Experience from Banking Practice -- Development of Stress Tests for Credit Portfolios -- Risk Management of Loans and Guarantees -- Risk Management of Loans with Embedded Options. |
520 ## - SUMMARY, ETC. |
Summary, etc |
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. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This 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 and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name as entry element |
Economics. |
|
Topical term or geographic name as entry element |
Finance. |
|
Topical term or geographic name as entry element |
Econometrics. |
|
Topical term or geographic name as entry element |
Industrial management. |
|
Topical term or geographic name as entry element |
Economics/Management Science. |
|
Topical term or geographic name as entry element |
Finance/Investment/Banking. |
|
Topical term or geographic name as entry element |
Management/Business for Professionals. |
|
Topical term or geographic name as entry element |
Quantitative Finance. |
|
Topical term or geographic name as entry element |
Econometrics. |
700 1# - ADDED ENTRY--PERSONAL NAME |
Personal name |
Rauhmeier, Robert. |
Relator term |
editor. |
710 2# - ADDED ENTRY--CORPORATE NAME |
Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
773 0# - HOST ITEM ENTRY |
Title |
Springer eBooks |
776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
Display text |
Printed edition: |
International Standard Book Number |
9783642161131 |
856 40 - ELECTRONIC LOCATION AND ACCESS |
Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-16114-8 |
942 ## - ADDED ENTRY ELEMENTS (KOHA) |
Source of classification or shelving scheme |
|
Item type |
E-Book |