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The Basel III Risk Parameters

  The Basel II Risk Parameters: Estimation, Validation, and Stress Testing
  Edited by: Bernd Engelmann, Robert Rauhmeier
  Published by: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Hardback 31     Aug 2006
  ISBN13: 9783540330851 ISBN10: 3540330852
  In: Mathematics

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Review:
The estimation and validation of the Basel III risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) is an important problem in banking practice. This book covers designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD.

The estimation and validation of the Basel III risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models, on the other to compute regulatory capital according to the new Basel rules. The book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD. A chapter on stress testing of the Basel III risk parameters concludes the monograph.

Credit Risk Scorecards

  Credit Risk Scorecards: Developing and Implementing Intelligent Credit Scoring
  By (author): Naeem Siddiqi
  Published by: John Wiley and Sons Ltd Hardback 04 Nov 2005
  ISBN13: 9780471754510 ISBN10: 047175451X
  In: Finance & Accounting
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  £20.74 (FREE standard delivery)

List price: £31.99 you save: £11.25 (35%)

Review:

The development of better, intelligent credit risk scorecards calls for the use of statistical principles for specific business objectives like being able to predict losses better. This book presents a business focused process for the development and implementation of these risk prediction scorecards.

Praise for “Credit Risk Scorecards”: “Scorecard development is important to retail financial services in terms of credit risk management, Basel III compliance, and marketing of credit products. “Credit Risk Scorecards” provides insight into professional practices in different stages of credit scorecard development, such as model building, validation, and implementation. The book should be compulsory reading for modern credit risk managers.” – Michael C. S. Wong, Associate Professor of Finance, City University of Hong Kong, Hong Kong; Regional Director, Global Association of Risk Professionals. “Siddiqi offers a practical, step by step guide for developing and implementing successful credit scorecards.

He relays the key steps in an ordered and simple to follow fashion. A must read for anyone managing the development of a scorecard.” – Jonathan G. Baum, Chief Risk Officer, GE Consumer Finance, Europe. “A comprehensive guide, not only for scorecard specialists but for all consumer credit professionals. The book provides the A to Z of scorecard development, implementation, and monitoring processes. This is an important read for all consumer lending practitioners.” – Satinder Ahluwalia, Vice President and Head Retail Credit, Mashreqbank, UAE. “This practical text provides a strong foundation in the technical issues involved in building credit scoring models.

This book will become required reading for all those working in this area.” – J. Michael Hardin, PhD Professor of Statistics, Department of Information Systems, Statistics, and Management Science; Director, Institute of Business Intelligence. “Mr. Siddiqi has captured the true essence of the credit risk practitioner s primary tool, the predictive scorecard. He has combined both art and science in demonstrating the critical advantages that scorecards achieve when employed in marketing, acquisition, account management, and recoveries. This text should be part of every risk manager s library.” – Stephen D. Morris, Director, Credit Risk, ING Bank of Canada.

DUBLIN, Ireland–(Business Wire)–Research and Markets (http://www.researchandmarkets.com/reports/c84905) has announced the addition of “E-Learning Course:Bank Branch Management – Risk Management” to their offering.

This e-learning course on ‘BBM Risk Management’ is designed to help users understand the basic principles of risk management. Further, the course discusses in detail the different types of risks encountered by banks. The course also discusses about credit risk management and operational risk management in banks.