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

Engelmann, Bernd (contributor); … - 2006

EAD (exposure at default) is an important problem in banking practice. This book covers designing and validating rating …The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and … systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD …

Persistent link: https://www.econbiz.de/10013520547

Risikoindikatoren, Rating und Ausfallwahrscheinlichkeit im Kreditgeschäft

Szczesny, Andrea - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013408757

Dynamic provisioning: rationale, functioning, and prudential treatment

Burroni, Marco; Quagliariello, Mario; Sabatini, Emiliano; … - Banca d'Italia - 2009

Current policy debate has renewed interest in countercyclical provisioning policies; dynamic provisions are regarded as a valuable device for pursuing this goal. Last July, Ecofin supported "the introduction of forward-looking provisioning, which consists in constituting provisions deducted from...

Persistent link: https://www.econbiz.de/10008472087

Credit risk and business cycle over different regimes

Marcucci, Juri; Quagliariello, Mario - Banca d'Italia - 2008

In the recent banking literature on the relationship between credit risk and the business cycle, the presence of …¿½ default rates, this paper analyzes whether this relationship is characterized by regime switches and thus by asymmetries …

Persistent link: https://www.econbiz.de/10005609366

Microinformation, Nonlinear Filtering and Granularity

GAGLIARDINI, Patrick; GOURIEROUX, Christian; MONFORT, Alain - 2009

an application of the Value of the Firm model [Merton (1974)] to both default and loss given default. …

Persistent link: https://www.econbiz.de/10008922923

Securitisation in France: recent developments

O. Birouk.; F. Darves. - In: Quarterly selection of articles - Bulletin de la Banque …, 32, pp. 29-47

Securitisation is growing at a moderate pace in France. With total outstanding securitised assets of EUR 215 billion at mid-2013, France ranks fifth in the euro area. The majority of securitised assets are loans to French residents. Securitisation has facilitated banks’ access to Eurosystem...

Persistent link: https://www.econbiz.de/10010760463