Modeling of EAD and LGD: Empirical Approaches and Technical Implementation

The Basel Accords have created the need to develop and implement models for PD, LGD and EAD. Although PD is quite well researched, LGD and EAD still lag both in theoretical and practical aspects. This paper proposes some empirical approaches for EAD/LGD modelling and provides technical insights into their implementation. It is expected that modellers will be able to use the tools proposed in this paper.

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Year of publication:	2012-02-18
Authors:	Yang, Bill Huajian ; Tkachenko, Mykola
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Basel \| EAD \| LGD \| WOE \| Naïve Bayes \| mixture density \| neural network

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011107571