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The Basel II risk parameters : estimation, validation, and stress testing : with 58 tables

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The Basel II Risk Parameters : Estimation, Validation, and Stress Testing

Engelmann, Bernd (contributor); … - 2006

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,...