Basel Framework International regulatory standards for banks
Basel Committee on Banking Supervision
Basel Accords
Basel I
Basel II
Basel III
LCR
NSFR
FRTB
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Background
Banking / Regulation
Monetary policy / Central bank
Risk / Risk management
Pillar 1: Regulatory capital
Capital requirement
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Tier 1
Tier 2
Credit risk
SA-CR
IRB
F-IRB
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EAD
SA-CCR
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Standardized
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Operational risk
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AMA
Pillar 2: Supervisory review
Economic capital
Liquidity risk
Legal risk
Pillar 3: Market disclosure
Disclosure
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Exposure at default or (EAD) is a parameter used in the calculation of economic capital or regulatory capital under Basel II for a banking institution. It can be defined as the gross exposure under a facility upon default of an obligor.[1]
Outside of Basel II, the concept is sometimes known as Credit Exposure (CE). It represents the immediate loss that the lender would suffer if the borrower (counterparty) fully defaults on its debt.
The EAD is closely linked to the expected loss, which is defined as the product of the EAD, the probability of default (PD) and the loss given default (LGD).
^"Pg 46:Draft Supervisory Guidance on Internal Ratings-Based Systems for Corporate Credit" (PDF). Archived from the original (PDF) on 2011-11-27. Retrieved 2011-12-22.
and 25 Related for: Exposure at default information
Exposureatdefault or (EAD) is a parameter used in the calculation of economic capital or regulatory capital under Basel II for a banking institution...
the probability of default (PD) and the exposureatdefault (EAD). LGD is the share of an asset that is lost when a borrower defaults. The recovery rate...
which is defined as the product of the PD, the loss given default (LGD) and the exposureatdefault (EAD). PD is the risk that the borrower will be unable...
quantitative models to estimate PD (probability of default), EAD (exposureatdefault), LGD (loss given default) and other parameters required for calculating...
Risk CE Credit Exposure CVA Credit valuation adjustment DVA Debit Valuation Adjustment – see XVA EAD Exposureatdefault EE Expected Exposure EL Expected...
$10 Loss given default = Magnitude of likely loss on the exposure / Exposureatdefault -$75 loan receivable write off Exposureatdefault +$70 house sold...
risk assessment are the probability of default (PD), the loss given default (LGD) and the exposureatdefault (EAD). The credit conversion factor calculates...
other off-balance-sheet transactions to its credit exposure equivalent, i.e. an Exposureatdefault Common contractual fund, an Irish collective investment...
of default LGD = loss given default EAD = exposureatdefault M = effective maturity Basel-II benefits customers with lower probability of default. Basel-II...
A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a debt default (by the debtor)...
decompression requirements European AIS Database, an aviation database Exposureatdefault, a measure of risk used in banking regulation Nintendo Entertainment...
formula: Expected Loss = Expected Exposure X Expected Default X Expected Severity Expected Exposure refers to exposure expected during the credit event...
default, τ {\displaystyle \tau } is the time of default, E ( t ) {\displaystyle E(t)} is the exposureat time t {\displaystyle t} , and P D ( s , t ) {\displaystyle...
deliverable (see IFRS 9); the probability of default (PD), exposureatdefault (EAD) and loss given default (LGD) statistics or models are (often) provided...
photography, the metering mode refers to the way in which a camera determines exposure. Cameras generally allow the user to select between spot, center-weighted...
meter Zone System Exposure bracketing Auto Exposure Bracketing (AEB) By default, the Minolta 7000 and 9000 (1985) support exposure-compensation in half-step...
If interest rates rise globally, Party A's exposure increases while the counterparty's likelihood of default increases (as it is now obligated to make...
alcohol exposure by a multi-disciplinary team of professionals. The main criteria for diagnosis of FASD is nervous system damage and alcohol exposure, with...
Asset Management India, faced significant issues due to exposure to Amtek Auto, which defaulted on its debt in 2015. JP Morgan had to suspend redemptions...
with the principles of data protection by design and by default" (as mandated by the GDPR). Exposure Notification is compatible with Android devices supporting...
information. In cases where radiation exposures can not be fully characterized based on available data, default values based on reasonable scientific...
typically for one specific parameter: Exposure autobracketing (often abbreviated to AEB for automatic exposure bracketing or BR for Bracketing) is the...
borrower, packaged with a credit default swap on a less creditworthy risk. For example, a bank may sell some of its exposure to a particular emerging country...
that includes netting-off of contract exposures, then the expected loss from a default depends on the net exposure of the whole portfolio of derivative...
federal charges of fraud and racketeering. On March 26, 2021, Archegos defaulted on margin calls from several global investment banks, including Credit...
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