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.
- Credit Risk
- Default Model
- Credit Quality
- European Banking Authority
- Time Default
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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
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-43695-5
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