Exposure at default models with and without the credit conversion factor
The Basel II and III Accords allow banks to calculate regulatory capital using their own internally developed models under the advanced internal ratings-based approach (AIRB). The Exposure at Default (EAD) is a core parameter modelled for revolving credit facilities with variable exposure. The credi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
2016-08-01.
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| Subjects: | |
| Online Access: | Get fulltext |