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The Basel II Risk Parameters

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Cover of 'The Basel II Risk Parameters'

Table of Contents

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    Book Overview
  2. Altmetric Badge
    Chapter 1 Statistical Methods to Develop Rating Models
  3. Altmetric Badge
    Chapter 2 Estimation of a Rating Model for Corporate Exposures
  4. Altmetric Badge
    Chapter 3 Scoring Models for Retail Exposures
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    Chapter 4 The Shadow Rating Approach: Experience from Banking Practice
  6. Altmetric Badge
    Chapter 5 Estimating Probabilities of Default for Low Default Portfolios
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    Chapter 6 Transition Matrices: Properties and Estimation Methods
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    Chapter 7 A Multi-factor Approach for Systematic Default and Recovery Risk
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    Chapter 8 Modelling Loss Given Default: A “Point in Time”-Approach
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    Chapter 9 Estimating Loss Given Default: Experience from Banking Practice
  11. Altmetric Badge
    Chapter 10 Possibilities of Estimating Exposures
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    Chapter 11 EAD Estimates for Facilities with Explicit Limits
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    Chapter 12 Validation of Banks’ Internal Rating Systems: A Supervisory Perspective
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    Chapter 13 Measures of a Rating’s Discriminative Power: Applications and Limitations
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    Chapter 14 Statistical Approaches to PD Validation
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    Chapter 15 PD-Validation: Experience from Banking Practice
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    Chapter 16 Development of Stress Tests for Credit Portfolios
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    Chapter 17 Risk Management of Loans and Guarantees
  19. Altmetric Badge
    Chapter 18 Risk Management of Loans with Embedded Options
Attention for Chapter 8: Modelling Loss Given Default: A “Point in Time”-Approach
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Citations

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Chapter title
Modelling Loss Given Default: A “Point in Time”-Approach
Chapter number 8
Book title
The Basel II Risk Parameters
Published by
Springer, Berlin, Heidelberg, January 2011
DOI 10.1007/978-3-642-16114-8_8
Book ISBNs
978-3-64-216113-1, 978-3-64-216114-8
Authors

Alfred Hamerle, Michael Knapp, Nicole Wildenauer

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 1 Mendeley reader of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 1 100%

Demographic breakdown

Readers by professional status Count As %
Other 1 100%
Readers by discipline Count As %
Mathematics 1 100%

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