Abstract
In the Basel Accord A-IRB framework (BCBS, 2006), the exposure at default (EAD) is defined as the size of the credit risk exposure that the bank expects to face on a facility assuming that economic downturn conditions occur within a one-year time horizon and the associated borrower defaults on its obligations within that horizon.
Keywords
- Credit Risk
- Default Model
- Credit Quality
- European Banking Authority
- Time Default
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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References
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© 2016 Sergio Scandizzo
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Scandizzo, S. (2016). Exposure at Default Models. In: The Validation of Risk Models. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137436962_7
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DOI: https://doi.org/10.1057/9781137436962_7
Publisher Name: Palgrave Macmillan, London
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