The Basel II Risk Parameters : Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

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