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...

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. This book covers designing and validating rating systems and default probability estimations. Furthermore,...

Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector Concentration Risk in Credit Portfolios -- Conclusion