Modeling of EAD and LGD: Empirical Approaches and Technical Implementation

Bill Huajian Yang and Mykola Tkachenko

MPRA Paper from University Library of Munich, Germany

Abstract: The Basel Accords have created the need to develop and implement models for PD, LGD and EAD. Although PD is quite well researched, LGD and EAD still lag both in theoretical and practical aspects. This paper proposes some empirical approaches for EAD/LGD modelling and provides technical insights into their implementation. It is expected that modellers will be able to use the tools proposed in this paper.

Keywords: Basel; EAD; LGD; WOE; Naïve Bayes; mixture density; neural network (search for similar items in EconPapers)
JEL-codes: C1 C5 G32 (search for similar items in EconPapers)
Date: 2012-02-18
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:57298

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