Exposure at Default Modeling with Default Intensities

Jiří Witzany

European Financial and Accounting Journal, 2011, vol. 2011, issue 4, 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.

Keywords: Credit risk; Regulatory capital; Exposure at default; Default intensity (search for similar items in EconPapers)
JEL-codes: C14 G21 G28 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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DOI: 10.18267/j.efaj.18

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