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EAD Estimates for Facilities with Explicit Limits

In: The Basel II Risk Parameters

Author

Listed:
  • Gregorio Moral

    (Banco de España (BE))

Abstract

No abstract is available for this item.

Suggested Citation

  • Gregorio Moral, 2006. "EAD Estimates for Facilities with Explicit Limits," Springer Books, in: Bernd Engelmann & Robert Rauhmeier (ed.), The Basel II Risk Parameters, chapter 0, pages 197-242, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-33087-5_10
    DOI: 10.1007/3-540-33087-9_10
    as

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    Citations

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    Cited by:

    1. Shigeaki Fujiwara, 2009. "Credit Risk Assessment Considering Variations in Exposure: Application to Commitment Lines," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 27(1), pages 171-194, November.
    2. Gabriel Jiménez & Jose A. Lopez & Jesus Saurina, 2009. "Empirical Analysis of Corporate Credit Lines," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5069-5098, December.
    3. Leow, Mindy & Crook, Jonathan, 2016. "A new Mixture model for the estimation of credit card Exposure at Default," European Journal of Operational Research, Elsevier, vol. 249(2), pages 487-497.
    4. Wattanawongwan, Suttisak & Mues, Christophe & Okhrati, Ramin & Choudhry, Taufiq & So, Mee Chi, 2023. "Modelling credit card exposure at default using vine copula quantile regression," European Journal of Operational Research, Elsevier, vol. 311(1), pages 387-399.
    5. Gabriel Jimenez & Jose A. Lopez & Jesus Saurina, 2009. "EAD calibration for corporate credit lines," Working Paper Series 2009-02, Federal Reserve Bank of San Francisco.
    6. Jiří Witzany, 2011. "Exposure at Default Modeling with Default Intensities," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2011(4), pages 20-48.
    7. Wattanawongwan, Suttisak & Mues, Christophe & Okhrati, Ramin & Choudhry, Taufiq & So, Mee Chi, 2023. "A mixture model for credit card exposure at default using the GAMLSS framework," International Journal of Forecasting, Elsevier, vol. 39(1), pages 503-518.

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