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Overview of EAD Estimation Concepts

In: The Basel II Risk Parameters

Author

Listed:
  • Walter Gruber

    (1 PLUS i GmbH)

  • Ronny Parchert

    (1 PLUS i GmbH)

Abstract

3. Conclusion 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.

Suggested Citation

  • Walter Gruber & Ronny Parchert, 2006. "Overview of EAD Estimation Concepts," Springer Books, in: Bernd Engelmann & Robert Rauhmeier (ed.), The Basel II Risk Parameters, chapter 0, pages 177-196, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-33087-5_9
    DOI: 10.1007/3-540-33087-9_9
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    Cited by:

    1. Maria Stefanova, 2012. "Recovery Risiko in der Kreditportfoliomodellierung," Springer Books, Springer, number 978-3-8349-4226-5, September.

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