SAARC FINANCE,
REGIONAL SEMINAR, ISLAMABAD
37
EaD Model: k-factors for EaD
nExposure at Default (EaD) is a product-specific estimate of exposure to
counterparty in the event of
default.
nThe challenge is in approximating the EaD to predict the borrowing
behavior of the counterparty over
the next 12 month period should the counterparty default on its obligations.
nThe methodology for EaD divides products into three classes:
1.Certain Exposure Products
2.Markets Products
3.Other Uncertain Exposures
For example, Term Loans, where repayment time is known
For example, OD
1
2
3
