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. - Vysoká Škola Ekonomická v Praze, ISSN 1802-2197. - Vol. 2011.2011, 4, p. 20-48
Publisher:	Vysoká Škola Ekonomická v Praze
Subject:	Credit risk \| Regulatory capital \| Exposure at default \| Default intensity

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Extent:	text/html
Type of publication:	Article
Classification:	C14 - Semiparametric and Nonparametric Methods ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011195398