Over the last few decades, credit risk research has largely been focused on the estimation and validation of probability of default (PD) models in credit scoring. Only more recently, academic work has been conducted into the estimation of LGD (e.g. Bellotti and Crook, 2009, Loterman et al, 2009, Matuszyk et al, 2010). However, to date very little model development and validation has been reported on the estimation of EAD, particularly for retail lending (i.e
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