Exposure at Default of Unsecured Credit Cards
ISBN-13:
9781505375503
ISBN-10:
1505375509
Author:
Office of the Comptroller of the Currency
Publication date:
2015
Publisher:
CreateSpace Independent Publishing Platform
Format:
Paperback
40 pages
FREE US shipping
Book details
ISBN-13:
9781505375503
ISBN-10:
1505375509
Author:
Office of the Comptroller of the Currency
Publication date:
2015
Publisher:
CreateSpace Independent Publishing Platform
Format:
Paperback
40 pages
Summary
Exposure at Default of Unsecured Credit Cards (ISBN-13: 9781505375503 and ISBN-10: 1505375509), written by authors
Office of the Comptroller of the Currency, was published by CreateSpace Independent Publishing Platform in 2015.
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Description
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), a common approach to EAD estimation. Dynamic snapshots of account credit limits and balances indicate that borrowers are more active than lenders in the “race to default.” We find that a little over a dozen borrower, account, and macro factors are significant drivers of EAD. Models incorporating these risk drivers show improved predictive accuracy. Our study offers a useful benchmark to banks’ EAD models and fills the void in the literature on retail EAD.
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