| 翻訳と辞書 |
| exposure at default ： ウィキペディア英語版 |
exposure at default
Exposure at default (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.〔(Pg 46:Draft Supervisory Guidance on Internal Ratings-Based Systems for Corporate Credit )〕
==Definition==
In general, EAD is seen as an estimation of the extent to which a bank may be exposed to a counterparty in the event of, and at the time of, that counterparty’s default. EAD is equal to the current amount outstanding in case of fixed exposures like term loans. For revolving exposures like lines of credit, EAD can be divided into drawn and undrawn commitments; typically the drawn commitment is known whereas the undrawn commitment needs to be estimated to arrive at a value of EAD. Based on Basel Guidelines, EAD for commitments measures the amount of the facility that is likely to be drawn further if a default occurs.〔(Overview of the New Basel Capital Accord ) BIS Consultative Document, April 2003〕 Two popular terms used to express the percentage of the undrawn commitment that will be drawn and outstanding at default (in case of a default) are Conversion Factor (CF)〔(FSA:Expert Group Paper on Exposure at Default )〕 and Loan Equivalent (LEQ).〔(OCC:Exposure at Default of Unsecured Credit Cards )〕
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
■ウィキペディアで「exposure at default」の詳細全文を読む
スポンサード リンク
| 翻訳と辞書 : 翻訳のためのインターネットリソース |
Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.
|
|