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imported>Doug Williamson |
imported>Charles Cresswell |
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| ''Credit risk evaluation - banking''.
| | (XML). |
| | A standard data format used for text files and information in computer memory that allows easy data processing and exchange between different applications. |
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| (EAD).
| | == See also == |
| | * [[Exchange traded]] |
| | * [[OTC]] |
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| Exposure At Default is an amount expected to be outstanding following a default by a counterparty, taking account of:
| | [[Category:Technology_and_Systems]] |
| *Any credit risk mitigation;
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| *Drawn balances; and
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| *Any undrawn amounts of commitments and contingent exposures.
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| =====Exposure At Default for derivative contracts=====
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| The Exposure at Default (EAD) for a derivatives contract has two components:
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| *The current fair market value or replacement cost (RC); and
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| *The possible future increase in the market value over the remaining life of the contract.
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| This possible future increase is known as the Potential Future Exposure (PFE).
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| Considering both elements of the derivative contract EAD together:
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| EAD = RC + PFE
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| ==See also==
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| *[[Default]]
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| *[[Expected Loss]]
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| *[[Loss Given Default]]
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| *[[Potential Future Exposure]]
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| *[[Probability of Default]]
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| *[[Replacement cost]]
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| [[Category:Accounting,_tax_and_regulation]]
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| [[Category:Identify_and_assess_risks]] | |
Revision as of 17:17, 18 June 2013
(XML).
A standard data format used for text files and information in computer memory that allows easy data processing and exchange between different applications.
See also
