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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. 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.
    5. 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.
    6. 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.
    7. 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.

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