Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT

Chapter 5 Development of an Exposure at Default (EAD) Model

5.1 Overview of Exposure at Default

5.2 Time Horizons for CCF

5.3 Data Preparation

5.4 CCF Distribution – Transformations

5.5 Model Development

5.5.1 Input Selection

5.5.2 Model Methodology

5.5.3 Performance Metrics

5.6 Model Validation and Reporting

5.6.1 Model Validation

5.6.2 Reports

5.7 Chapter Summary

5.8 References and Further Reading

5.1 Overview of Exposure at Default

Exposure at Default (EAD) can be defined simply as a measure of the monetary exposure should an obligor go into default. Under the Basel II requirements for the advanced internal ratings-based approach (A-IRB), banks must estimate and empirically validate their own models for Exposure at Default (EAD) (Figure 5.1 ...