Estimating Exposure at Default Under the Internal Ratings-Based Approach

@inproceedings{Manganello2009EstimatingEA,
  title={Estimating Exposure at Default Under the Internal Ratings-Based Approach},
  author={Elisa Alghisi Manganello and Massimiliano Cecconi and Andrea Resti},
  year={2009}
}
Under the Basel II advanced Irb (Internal Ratings Based) approach, banks are encouraged to provide internal estimates for all of the risky parameters determining the minimum regulatory capital. While the Pd and Lgd estimation issue has recently attracted a lot of attention by the credit risk literature, much less consideration has instead been devoted to the Ead and just few articles treat theoretical and operating features in order to support its practical estimation procedure. In this paper… CONTINUE READING

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