Exposure at Default

Exposure at Default
  Posizioni in o fuori bilancio, definite come l'esposizione attesa della facility al momento del default del debitore. Sono legittimate a stimare l'Exposure at default solo le banche che soddisfano i requisiti per l'adozione dell'approccio IRB Advanced.

Glossario di economia e finanza. 2011.

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  • Exposure at default — (EAD)  параметр риска, использующийся для вычисления экономического или регулятивного капитала банковских организаций по методике Базель II. Означает общие кредитные потери в момент невыполнения кредитных обязательств (дефолта). Способ… …   Википедия

  • Exposure at default (EAD) — is a parameter used in the calculation of economic capital or regulatory capital under Basel II for a banking institution. This is an attribute of any exposure on bank s client.DefinitionIn general EAD can be seen as an estimation of the extent… …   Wikipedia

  • Exposure At Default - EAD — A total value that a bank is exposed to at the time of default. Each underlying exposure that a bank has is given an EAD value and is identified within the bank s internal system. Using the internal ratings board (IRB) approach, financial… …   Investment dictionary

  • Default Model — A type of model used by financial institutions to determine the likelihood of a default on credit obligations by a corporation or sovereign entity. These statistical models often use regression analysis (analyzing changes to certain market… …   Investment dictionary

  • exposure — The vulnerability that is attached with an investment. There are different types of exposures that an investment may have, such as, currency exposure or economic exposure. For example, currency exposure is the proportion of your share portfolio… …   Financial and business terms

  • Default Rate — This rate can be used in reference to two main things: 1. The rate of borrowers who fail to remain current on their loans. It is a critical piece of information used by lenders to determine their risk exposure and economists to evaluate the… …   Investment dictionary

  • Loss given default — Basel II Bank for International Settlements Basel Accords Basel I Basel II Background Banking Monetary policy Central bank Risk …   Wikipedia

  • Loss given default (LGD) — Loss Given Default or LGD is a common parameter in Risk Models and also a parameter used in the calculation of Economic Capital or Regulatory Capital under Basel II for a banking institution. This is an attribute of any exposure on bank s… …   Wikipedia

  • Loss Given Default — (LGD) ist in der Kreditrisikosteuerung die Bezeichnung für die Verlustquote. Der LGD ist neben der Ausfallwahrscheinlichkeit (Probability of Default; oder häufig kurz als PD bezeichnet) und dem Exposure at Default (= ausstehendes Obligo im… …   Deutsch Wikipedia

  • Loss Given Default — (LGD) est un des trois indicateurs de risque de crédit de la réglementation Bâle II correspondant à la perte en cas de défaut. Voir aussi EAD (Exposure At Default) PD (Probability Of Default) RWA (Risk Weighted Assets) Portail de la finance …   Wikipédia en Français

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