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Home > The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management > Statistical Methods to Develop Rating Models
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management |
Bernd Engelmann; Robert Rauhmeier
Springer Berlin Heidelberg
The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management
Statistical Methods to Develop Rating Models
Authors

Evelyn Hayden; Daniel Porath

ARI Id

1664459789925_1768184

Access

Not Available Free

Pages

1-12

DOI

10.1007/978-3-642-16114-8_1

Chapter URL

https://rd.springer.com/chapter/10.1007/978-3-642-16114-8_1

Table of Contents of Book
Showing 1 to 20 of 20 entries
Chapters/HeadingsAuthor(s)PagesInfo
Front Matter
i-xiv
Statistical Methods to Develop Rating Models
Evelyn Hayden; Daniel Porath
1-12
Estimation of a Rating Model for Corporate Exposures
Evelyn Hayden
13-24
Scoring Models for Retail Exposures
Daniel Porath
25-36
The Shadow Rating Approach: Experience from Banking Practice
Ulrich Erlenmaier
37-74
Estimating Probabilities of Default for Low Default Portfolios
Katja Pluto; Dirk Tasche
75-101
Transition Matrices: Properties and Estimation Methods
Bernd Engelmann; Konstantin Ermakov
103-116
A Multi-factor Approach for Systematic Default and Recovery Risk
Daniel Rösch; Harald Scheule
117-135
Modelling Loss Given Default: A “Point in Time”-Approach
Alfred Hamerle; Michael Knapp; Nicole Wildenauer
137-150
Estimating Loss Given Default: Experience from Banking Practice
Christian Peter
151-183
Possibilities of Estimating Exposures
Ronny Hahn; Stefan Reitz
185-200
EAD Estimates for Facilities with Explicit Limits
Gregorio Moral
201-246
Validation of Banks’ Internal Rating Systems: A Supervisory Perspective
Stefan Blochwitz; Stefan Hohl
247-267
Measures of a Rating’s Discriminative Power: Applications and Limitations
Bernd Engelmann
269-291
Statistical Approaches to PD Validation
Stefan Blochwitz; Marcus R. W. Martin; Carsten S. Wehn
293-309
PD-Validation: Experience from Banking Practice
Robert Rauhmeier
311-347
Development of Stress Tests for Credit Portfolios
Volker Matthias Gundlach
349-371
Risk Management of Loans and Guarantees
Bernd Engelmann; Walter Gruber
373-390
Risk Management of Loans with Embedded Options
Bernd Engelmann
391-414
Back Matter
415-426
Chapters/HeadingsAuthor(s)PagesInfo
Showing 1 to 20 of 20 entries
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