Exposure at Default Modeling with Default Intensities

The paper provides an overview of the Exposure at Default (EAD) definition, requirements, and estimation methods as set by the Basel II regulation. A new methodology connected to the intensity of default modeling is proposed. The numerical examples show that various estimation techniques may lead to quite different results with intensity of default based model being recommended as the most faithful with respect to a precise probabilistic definition of the EAD parameter.

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Year of publication:	2011
Authors:	Witzany, Jiří
Published in:	European Financial and Accounting Journal. - Prague : University of Economics, Faculty of Finance and Accounting, ISSN 1805-4846. - Vol. 6.2011, 4, p. 20-48
Publisher:	Prague : University of Economics, Faculty of Finance and Accounting
Subject:	Credit risk \| Exposure at default \| Default intensity \| Regulatory capital

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.18267/j.efaj.18 [DOI] 858997029 [GVK] hdl:10419/109878 [Handle] RePEc:prg:jnlefa:v:2011:y:2011:i:4:id:18:p:20-48 [RePEc]
Classification:	C14 - Semiparametric and Nonparametric Methods ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010512893