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Title: Basel II Risk Parameters
Publisher: Springer
Year: 2006
Contents
I. Statistical Methods to Develop Rating Models ................................................1
II. Estimation of a Rating Model for Corporate Exposures ............................13
III. Scoring Models for Retail Exposures ..........................................................25
IV. The Shadow Rating Approach – Experience from Banking Practice ...... 39
V. Estimating Probabilities of Default for Low Default Portfolios ................. 79
VI. A Multi-Factor Approach for Systematic Default and Recovery Risk...105
VII. Modelling Loss Given Default: A “Point in Time”-Approach...............127
VIII. Estimating Loss Given Default – Experiences from Banking
Practice...............................................................................................................143
IX. Overview of EAD Estimation concepts .................................................... 177
X. EAD Estimates for Facilities with Explicit Limits..................................... 197
XI. Validation of Banks’ Internal Rating Systems - A Supervisory
Perspective .........................................................................................................243
XII. Measures of a Rating’s Discriminative Power – Applications and
Limitations .........................................................................................................263
XIII. Statistical Approaches to PD Validation................................................289
XIV. PD-Validation – Experience from Banking Practice ............................ 307
XV. Development of Stress Tests for Credit Portfolios.................................. 347
Contributors.......................................................................................................369
Index ...................................................................................................................373
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