Exposure at default modeling with default intensities

Jiří Witzany

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.

MoreLess

Year of publication:	2011
Authors:	Witzany, Jiří
Published in:	European financial and accounting journal : EFAJ. - Praha : [Verlag nicht ermittelbar], ISSN 1805-4846, ZDB-ID 2819858-X. - Vol. 6.2011, 4, p. 20-48
Subject:	Credit risk \| Exposure at default \| Default intensity \| Regulatory capital \| Kreditrisiko \| Insolvenz \| Insolvency \| Basler Akkord \| Basel Accord \| Theorie \| Theory \| Derivat \| Derivative

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Illustrationen
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	hdl:10419/109878 [Handle]
Classification:	C14 - Semiparametric and Nonparametric Methods ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011460072