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Bléjer, Mario I. (ed.); Škreb, Marko (contributor) - 2002

Persistent link: https://www.econbiz.de/10001663554

Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999

Chan, Wai-Sum (contributor); Li, Wai Keung (contributor); … - International Workshop on Statistics and Finance <1999, … - 2000

Persistent link: https://www.econbiz.de/10001490756

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

Engelmann, Bernd (ed.); Rauhmeier, Robert (ed.) - 2006

Persistent link: https://www.econbiz.de/10003288108

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,...