Springer – 2011, 440 pages ISBN: 3642161138, 9783642161131The 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.Contents: 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.
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Prmia Publications – 2005, 1301 pages
ISBN: 0976609703, 9780976609704
As its title implies, this book is the Handbook for the Professional Risk Manager. It is for those professionals who seek to demonstrate their skills in the field of financial risk management and for those looking simply for an excellent reference source. With contributions from nearly 40 leading authors,...
John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
Risk Books, 2012. — 527 p. — ISBN: 9781906348588
The author, Terry Benzschawel, succeeds in breaking down credit risk modelling into something that is easy to understand. The book does three main things: Describe data, theory and applications regarding corporations and sovereign nations likelihoods of default. Explain how the market prices the risk of default and its associated...
New York: Wiley, 2010. — 821 p.
Never before has risk management been so important.
Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management.
Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on...
Wiley, 2008. – 1033 p. – ISBN: 047017921X, 9780470179215
If you’re seeking solutions to advanced and even esoteric problems, Advanced Analytical Models goes beyond theoretical discussions of modeling by facilitating a thorough understanding of concepts and their real-world applications—including the use of embedded functions and algorithms. This reliable resource will equip you...
Academic Press, 2007. — 280 p. — (Academic Press Advanced Finance). — ISBN 9780123694669 (print); ISBN 9780080471068 (eBook).
A unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications and the practical realities of bank decision making about capital management and capital allocation.
Value at Risk,...