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  • Search: subject:"Exposure‐at‐default"
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Year of publication
Subject
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Credit risk 19 Kreditrisiko 15 Exposure at default 12 exposure at default 12 Insolvency 9 Insolvenz 9 Basel Accord 8 Basler Akkord 8 Theorie 7 Theory 7 Basel II 6 loss given default 6 Bank lending 5 Exposure at Default 5 Risk management 5 Kreditgeschäft 4 probability of default 4 Credit card 3 Credit cards 3 Default intensity 3 Expected loss (EL) 3 Exposure at default (EaD) 3 IFRS 3 IFRS 9 3 Kreditkarte 3 Loss given default (LGD) 3 Portfolio selection 3 Portfolio-Management 3 Probability of default 3 Probability of default (PD) 3 Regulatory capital 3 Risikomanagement 3 Risk analysis 3 credit default swap 3 credit risk 3 credit value at risk 3 direct convolution 3 future potential exposure 3 stochastic cash-flow stream model 3 Artificial intelligence 2
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Online availability
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Free 23 Undetermined 11
Type of publication
All
Article 29 Book / Working Paper 10 Other 1
Type of publication (narrower categories)
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Article in journal 15 Aufsatz in Zeitschrift 15 Article 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Arbeitspapier 1 Aufsatzsammlung 1 Hochschulschrift 1 technical-paper 1
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Language
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English 25 Undetermined 13 German 2
Author
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Bag, Pinaki 3 Mues, Christophe 3 Witzany, Jiří 3 Yamashita, Satoshi 3 Yoshiba, Toshinao 3 Choudhry, Taufiq 2 Esposito, Francesco Paolo 2 Fujiwara, Shigeaki 2 Hasan, Iftekhar 2 Lindner, Peter 2 López, José A. 2 Michael Jacobs, Jr. 2 Nagl, Maximilian 2 Okhrati, Ramin 2 Ozdemir, Bogie 2 Rösch, Daniel 2 So, Mee Chi 2 Wattanawongwan, Suttisak 2 Zazzara, Cristiano 2 Aguais, Scott D. 1 Albacete, Nicolas 1 Albacete, Nicolás 1 Betz, Jennifer 1 Brown, Iain 1 Cecconi, Massimiliano 1 Chawla, Gaurav 1 Chikodza, Eriyoti 1 ESPOSITO, Francesco P. 1 Esposito, Francesco P. 1 Fantazzini, Dean 1 Forest, Lawrence R. <Jr.> 1 Gumbo, Victor 1 Gürtler, Marc 1 Hibbeln, Martin 1 Huang, Emma 1 Jacobs, Michael 1 Jiménez Zambrano, Gabriel 1 Jiménez, Gabriel 1 Jr, Michael Jacobs 1 Kaposty, Florian 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Institute for Monetary and Economic Studies, Bank of Japan 2 Banco de España 1 Suomen Pankki 1
Published in...
All
Journal of Advanced Studies in Finance 3 MPRA Paper 3 European Financial and Accounting Journal 2 European journal of operational research : EJOR 2 IMES Discussion Paper Series 2 IRZ : Zeitschrift für internationale Rechnungslegung 2 The journal of credit risk : published quarterly by Incisive Media 2 Applied Econometrics 1 Asia-Pacific Financial Markets 1 Asia-Pacific financial markets 1 BANCARIA 1 Banco de España Working Papers 1 Bank of Finland Research Discussion Papers 1 European financial and accounting journal : EFAJ 1 FRB of Dallas Working Paper 1 Financial Stability Report 1 Financial stability report 1 International journal of forecasting 1 Journal of Risk Finance 1 Journal of banking & finance 1 Journal of risk management in financial institutions 1 Journal of the Royal Statistical Society: Series A (Statistics in Society) 1 Monetary and Economic Studies 1 Research Discussion Papers / Suomen Pankki 1 Risk governance & control : financial markets & institutions 1 Risk management : an international journal 1 The Journal of Risk Finance 1 The journal of risk model validation 1 Theoretical and Practical Research in Economic Fields 1 Working paper / Federal Reserve Bank of Dallas, Research Department 1
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Source
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RePEc 18 ECONIS (ZBW) 17 EconStor 3 BASE 1 Other ZBW resources 1
Showing 1 - 10 of 40
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Credit line exposure at default modelling using Bayesian mixed effect quantile regression
Betz, Jennifer; Nagl, Maximilian; Rösch, Daniel - In: Journal of the Royal Statistical Society: Series A … 185 (2022) 4, pp. 2035-2072
ratings‐based approach, banks are obliged to use their own estimates of exposure at default using credit conversion factors …
Persistent link: https://www.econbiz.de/10014504169
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Statistical and machine learning for credit and market risk management
Nagl, Maximilian - 2022
Persistent link: https://www.econbiz.de/10012880193
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Modelling credit card exposure at default using vine copula quantile regression
Wattanawongwan, Suttisak; Mues, Christophe; Okhrati, Ramin - In: European journal of operational research : EJOR 311 (2023) 1, pp. 387-399
Persistent link: https://www.econbiz.de/10014336533
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A mixture model for credit card exposure at default using the GAMLSS framework
Wattanawongwan, Suttisak; Mues, Christophe; Okhrati, Ramin - In: International journal of forecasting 39 (2023) 1, pp. 503-518
Persistent link: https://www.econbiz.de/10014462794
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Understanding the exposure at default risk of commercial real estate construction and land development loans
Luo, Shan; Murphy, Anthony - 2020
We study and model the determinants of exposure at default (EAD) for large U.S. construction and land development loans …
Persistent link: https://www.econbiz.de/10012230528
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Determinants of corporate exposure at default under distressed economic and financial conditions in a developing economy : the case of Zimbabwe
Matenda, Frank Ranganai; Sibanda, Mabutho; Chikodza, Eriyoti - In: Risk management : an international journal 23 (2021) 1/2, pp. 123-149
Persistent link: https://www.econbiz.de/10012544574
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A prudent loss given default estimation for mortgages. II
Ozdemir, Bogie; Huang, Emma - In: The journal of risk model validation 15 (2021) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10013173359
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Modeling Portfolio Risk by Risk Discriminatory Trees and Random Forests
Yang, Bill Huajian - Volkswirtschaftliche Fakultät, … - 2013
validation of the proposed approaches, we estimate the exposure at default for a commercial portfolio. Results show, the risk …
Persistent link: https://www.econbiz.de/10011107951
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Household Vulnerability in Austria – A Microeconomic Analysis Based on the Household Finance and Consumption Survey
Albacete, Nicolas; Lindner, Peter - In: Financial Stability Report (2013) 25, pp. 57-73
vulnerable households and estimates the financial sector’s potential exposure at default and loss given default. We find that the …
Persistent link: https://www.econbiz.de/10010818141
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Modellierung von Kreditrisikoparametern nach IFRS 9 auf Basis der aufsichtsrechtlichen Schätzungen : Teil 2: Modellierung von Loss Given Default und Exposure at Default
Löw, Edgar; Vogt, Kevin - In: IRZ : Zeitschrift für internationale Rechnungslegung 13 (2018) 10, pp. 437-442
Persistent link: https://www.econbiz.de/10011912779
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