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.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
BIS (2004), International Convergence of Capital Measurement and Capital Standards, Basel Committee on Banking Supervision, June 2004.
Bundesbank (2005), Entwurf zur Solvabilitätsverordnung, Bundesbank, May 2005.
Gruber W (2001), Konzepte zur Messung von Markt-und Kreditrisiken, in: Eller R, Gruber W, Reif M (eds.): Handbuch Gesamtbanksteuerung, Schäffer-Poeschel-Verlag, Stuttgart.
Gruber W (2005), Praxisorientierte Bepreisung von einfachen und strukturierten Credit Default Swaps, in: Gruber J, Gruber W, Braun H (eds.): Praktikerhandbuch Asset-Backed-Securities und Kreditderivate, Schäffer-Poeschel-Verlag, Stuttgart.
Jendruschewitz B (1997), Value-at-Risk, Hochschule für Bankwirtschaft.
Rebonato R (1997), Interest Rate Option Models, John Wiley & Sons.
Seelhof M (1999), Messung von Ausfallrisiken aus derivativen Instrumenten mit dynamischen Simulationstechniken, in: Eller R, Gruber, W., Reif, M. (eds.): Handbuch Kreditrisikomodelle und Kreditderivate, Schäffer-Poeschel-Verlag, Stuttgart.
Vose D (1997), Quantitative Risk Analysis, John Wiley & Sons.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2006 Springer Berlin · Heidelberg
About this chapter
Cite this chapter
Gruber, W., Parchert, R. (2006). Overview of EAD Estimation Concepts. In: Engelmann, B., Rauhmeier, R. (eds) The Basel II Risk Parameters. Springer, Berlin, Heidelberg . https://doi.org/10.1007/3-540-33087-9_9
Download citation
DOI: https://doi.org/10.1007/3-540-33087-9_9
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-33085-1
Online ISBN: 978-3-540-33087-5
eBook Packages: Business and EconomicsEconomics and Finance (R0)