Estimating Exposure at Default under the Internal Ratings-Based Approach

Elisa Alghisi Manganello, Massimiliano Cecconi () and Andrea Resti
Additional contact information
Elisa Alghisi Manganello: UBI Banca
Andrea Resti: Università Bocconi

BANCARIA, 2009, vol. 12, 28-47

Abstract: Under the Basel II advanced Irb (Internal Ratings Based) approach, banks are encouraged to provide internal estimates for all of the risky parameters determining the minimum regulatory capital. While the Pd and Lgd estimation issue has recently attracted a lot of attention by the credit risk literature, much less consideration has instead been devoted to the Ead and just few articles treat theoretical and operating features in order to support its practical estimation procedure. In this paper, we present a few possible approaches to the Ead estimation that practitioners in this field should be aware of, and the implications derived from its implementation. In addition, results obtained from the described methodologies are shown and analyzed with respect to a wide sample of default positions of a medium-size Italian banking group.

Keywords: Basilea 2; exposure at default; credit conversion factor (search for similar items in EconPapers)
JEL-codes: G21 G24 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bancariaeditrice.it/prodotti/vedi/prodotto/id/1975/bancaria-n-12-2009 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:12:y:2009:m:december:p:28-47

Access Statistics for this article

BANCARIA is currently edited by Bancaria Editrice - the publisher of the Italian Banking Association

More articles in BANCARIA from Bancaria Editrice
Bibliographic data for series maintained by Francesco Emiliano Tani ().