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The Basel II Risk Parameters Estimation, Validation, Stress Testing - with Applications to Loan Risk Management / Bernd Engelmann, Robert Rauhmeier editors.
Berlin : Springer Berlin, 2011
XIV, 426 : ill. ; 24cm.

The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice.