Overview of EAD Estimation Concepts

Walter Gruber and Ronny Parchert
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Walter Gruber: 1 PLUS i GmbH
Ronny Parchert: 1 PLUS i GmbH

Chapter IX. in The Basel II Risk Parameters, 2006, pp 177-196 from Springer

Abstract: 3. Conclusion This article presented basic concepts for estimating EAD for balance-sheet and off-balance-sheet financial products. We started with the description of the methods, which are delivered by the regulatory framework. If we look at the various shortcomings of the regulatory methods, we motivated how internal methods for EAD-estimation should be designed to avoid these disadvantages and create more elaborate techniques to estimate the EAD in an economic sense. For estimating the EAD for derivative portfolios various Monte-Carlo techniques can be applied.

Keywords: Interest Rate; Cash Flow; Derivative Product; Loss Parameter; Loss Give Default (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/3-540-33087-9_9

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