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Statistical Methods to Develop Rating Models Read chapter Read first chapter

2006 | OriginalPaper | Chapter

Overview of EAD Estimation Concepts

Authors : Walter Gruber, Ronny Parchert

Published in: The Basel II Risk Parameters

Publisher: Springer Berlin Heidelberg

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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.

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Metadata
Title
Overview of EAD Estimation Concepts
Authors
Walter Gruber
Ronny Parchert
Copyright Year
2006
Publisher
Springer Berlin Heidelberg
Book
The Basel II Risk Parameters

Print ISBN: 978-3-540-33085-1

Electronic ISBN: 978-3-540-33087-5

Copyright Year: 2006

DOI
https://doi.org/10.1007/3-540-33087-9_9