Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System
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analysis asset correlation assigned PD average backtesting bank bank’s Basel Basel II beta distribution borrower calibration capital adequacy capital requirement confidence interval confidence level credit risk cyclical default rate data defaulted debts defaulted instruments discount rate downgrade downturn LGD economic capital Equation estimated risk premium example excess return expected explanatory variables facility Figure financial ratios framework higher historical default rates industry internal ratings internal risk rating IRRS LGD correlation LGD data LGD risk loans long-run PDs LossStats marketwide master scale mean LGD methodology Miu and Ozdemir mobility metric obligors pairwise parameters PD and LGD PD assigned PD risk Pillar portfolio predicted LGD pricing prior to default realized LGD regression analysis reported in Table risk drivers risk factor risk rating philosophy risk rating system sample segment simulation Standard & Poor’s standard deviation stress testing subordinated bonds subportfolios systematic PD true LRPD unconditional validation