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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
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    Chapter 1 Statistical Methods to Develop Rating Models
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    Chapter 2 Estimation of a Rating Model for Corporate Exposures
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    Chapter 3 Scoring Models for Retail Exposures
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    Chapter 4 The Shadow Rating Approach: Experience from Banking Practice
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    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
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    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
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    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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