Exposure at Default of Unsecured Credit Cards

by Office of the Comptroller of the Currenc and Office of the Comptroller of the Currency

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Retail exposure at default (EAD) is one of the weakest areas of risk measurement and modeling in industry practices and in academic literature. The U.S. Basel II Final Rule is not specific about the approach to EAD. In this study, we use borrower and account information from a large national sample of unsecured credit card defaults to capture borrower and lender behavior as borrowers approach default and to measure and model loan equivalent (LEQ),...

Format:Paperback

Language:English

ISBN:1505375509

ISBN13:9781505375503

Release Date:January 2015

Publisher:Createspace Independent Publishing Platform

Length:42 Pages

Weight:0.27 lbs.

Dimensions:0.1" x 8.5" x 11.0"

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Exposure at Default of Unsecured Credit Cards

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