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Modeling of EAD and LGD: Empirical Approaches and Technical Implementation

Yang, Bill Huajian; Tkachenko, Mykola - Volkswirtschaftliche Fakultät, … - 2012

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...

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

Modeling exposure at default and loss given default : empirical approaches and technical implementation

Yang, Bill Huajian; Tkachenko, Mykola - In: The journal of credit risk : published quarterly by … 8 (2012) 2, pp. 81-102

Persistent link: https://www.econbiz.de/10010058528

Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework

Yang, Bill Huajian - In: The journal of risk model validation 8 (2014) 3, pp. 33-48

Persistent link: https://www.econbiz.de/10010423905

Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models

Yang, Bill Huajian - In: The journal of risk model validation 7 (2013/2014) 4, pp. 3-19

Persistent link: https://www.econbiz.de/10010480647

Point-in-time probability of default term structure models for multiperiod scenario loss projection

Yang, Bill Huajian - In: The journal of risk model validation 11 (2017) 1, pp. 73-94

Persistent link: https://www.econbiz.de/10011671182

Smoothing algorithms by constrained maximum likelihood : methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial...

Yang, Bill Huajian - In: The journal of risk model validation 12 (2018) 2, pp. 89-102

Persistent link: https://www.econbiz.de/10011912266

Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47

Persistent link: https://www.econbiz.de/10011326309

Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation

Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011587660

Forward ordinal probability models for point-in-time probability of default term structure : methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR s...

Yang, Bill Huajian - In: The journal of risk model validation 11 (2017) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10011762989

International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses

Yang, Bill Huajian; Wu, Biao; Cui, Kaijie; Du, Zunwei; … - In: The journal of risk model validation 14 (2020) 1, pp. 19-34

Persistent link: https://www.econbiz.de/10014335910