Basel II Implementation, Chapter 2 - Risk Ratings System Quantification, Part 2

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McGraw Hill Professional, Jul 10, 2008 - Business & Economics - 121 pages
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This is a sample chapter from Basel II Implementation, an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips. Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that are both academically credible and practical, making them defendable to regulators and executable within the constraints of data, resources, and time.
 

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Contents

Overview
65
Risk Rating Philosophy
67
Longrun PD
77
Downturn LGD
96
Downturn EAD
122
Downturn LGD A Case Study
124
Establishing a Master Scale
134
Stress Testing
138
EAD Estimation
171
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About the author (2008)

Bogie Ozdemir is Director of Standard & Poor's Risk Solution, a Financial Risk Manager with GARP, and a certified Risk Manager.

Peter Miu is Standard & Poor's Consultant for Canadian and Korean Basel II Implementation.

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