Betz, Jennifer; Nagl, Maximilian; Rösch, Daniel - In: Journal of the Royal Statistical Society: Series A … 185 (2022) 4, pp. 2035-2072
For banks, credit lines play an important role exposing both liquidity and credit risk. In the advanced internal ratings‐based approach, banks are obliged to use their own estimates of exposure at default using credit conversion factors. For volatile segments, additional downturn estimates are...