Estimating EAD for retail exposures for Basel II purposes

Vytautas Valvonis

Journal of Credit Risk

Abstract: ABSTRACT This paper discusses the estimation of exposure at default for Basel II purposes: what is the credit conversion factor (CCF), how it can be estimated for defaulted exposures, what are EAD risk drivers (EADRDs) and how information on CCFs and EADRDs can be used to model EAD for nondefaulted exposures. This paper also provides some empirical CCF estimation and EAD validation results for retail exposures.

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