Credit Risk Measurement and Models: Exposure at Default (EAD)
Interactive

Credit Risk Measurement and Models: Exposure at Default (EAD)

Intuition Publishing
Updated Sep 25, 2020

Exposure at default (EAD) is a core component in determining the level of credit risk. More specifically, it is a critical element in determining regulatory capital requirements and the expected loss (EL) of a credit portfolio. Here we describe EAD and the various approaches used for calculating EAD values.