Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/109878
Authors: 
Witzany, Jiří
Year of Publication: 
2011
Citation: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 6 [Year:] 2011 [Issue:] 4 [Pages:] 20-48
Abstract: 
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.
Subjects: 
Credit risk
Exposure at default
Default intensity
Regulatory capital
JEL: 
C14
G21
G28
Persistent Identifier of the first edition: 
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.