The Basel II Risk Parameters

Bernd Engelmann ist Professor für Numerische Mathematik, er hält Vorlesungen zur Höheren Mathematik für Ingenieure und zur Numerik für Informatiker und Wirtschaftsmathematiker.

Hayden E., Porath, D.: Statistical Methods to Develop Rating Models.-Hayden E.:  Estimation of a Rating Model for Corporate Exposures.-Porath, D.:  Scoring Models for Retail Exposures.- Erlenmaier, U.: The Shadow Rating Approach: Experience from Banking Practice.- Pluto K., Tasche, D.: Estimation Probabilities of Default for Low Default Portfolios.- Rösch D., Scheule, H.: A Multi-Factor Approach for Systematic Default and Recovery Risk.- Hamerle A., Knapp M., Wildenauer N.: Modelling Loss Given Default: A "Point in Time"-Approach.- Peter C.: Estimation Loss Given Default: Experiences from Banking Practice.- Gruber W., Parchert R.: Overview of EAD Estimation Concepts.- Moral G.: EAD Estimates for Facilities with Explicit Limits.- Blochwitz S., Hohl S.: Validation of Banks "Internal Rating Systems": A Supervisory Perspective.- Engelmann B.: Measures of a Rating's Discriminative Power: Applications and Limitations.- Blochwitz S., Martin M.R.W., Wehn C.S.: Statistical Approaches to PD Validation.- Rauhmeier, R.: PD-Validation: Expericence from Banking Practice.- Grundlach V.M.: Development of Stress Tests for Credit Portfolios