{"product_id":"the-banking-revolution-navigating-finance-in-the-21st-century-navigati-9781087970752","title":"The Banking Revolution: Navigating Finance in the 21st Century: Navigati","description":"\u003cp\u003e • Author(s): Kevan Joey\u003cbr\u003e • Publisher: Indie Publisher\u003cbr\u003e • Publisher Imprint: Indie Publisher\u003cbr\u003e • BISAC: Islamic Banking \u0026amp; Finance\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eBanks accredited by their regulator to use the Advanced Internal Ratings Based (A-IRB)\u003c\/p\u003e\u003cp\u003eapproach are required to provide their own estimates for calculating their minimum credit\u003c\/p\u003e\u003cp\u003ecapital; these estimates rely on statistical and analytical models to predict Probability of\u003c\/p\u003e\u003cp\u003eDefault (PD), Loss Given Default (LGD) and Exposure at Default (EAD). This thesis\u003c\/p\u003e\u003cp\u003efocusses on estimating EAD for banks granting revolving loans to large corporates and\u003c\/p\u003e\u003cp\u003eleverages the Global Credit Data (GCD) database.\u003c\/p\u003e\u003cp\u003eThis thesis briefly discusses why risk management, particularly credit risk management, is\u003c\/p\u003e\u003cp\u003eimportant for banks and we survey the existing EAD modelling literature which to date\u003c\/p\u003e\u003cp\u003ehas had less focus than PD and LGD modelling.\u003c\/p\u003e\u003cp\u003eOur prosed methodology models both loan balance at default (EAD) and changes in loan\u003c\/p\u003e\u003cp\u003elimit at default as random variables, modelling their joint dynamics via a two stage model\u003c\/p\u003e\u003cp\u003e- the first stage estimates the probability that limits decrease while the second stage\u003c\/p\u003e\u003cp\u003eestimates EAD conditional on changing limits. To the best of our knowledge, our approach\u003c\/p\u003e\u003cp\u003eis the first to estimate EAD and changes in loan limit directly for large corporate revolving\u003c\/p\u003e\u003cp\u003efacilities using the GCD database.\u003c\/p\u003e\u003cp\u003eOur model suggests that the key drivers of EAD include: limit; balance; utilisation; risk\u003c\/p\u003e\u003cp\u003erating; and time to maturity. We also find evidence that banks actively manage limits in\u003c\/p\u003e\u003cp\u003ethe lead up to default, and that these changes in limits have substantial effects on the\u003c\/p\u003e\u003cp\u003eoutcomes of realised EAD.\u003c\/p\u003e","brand":"Indie Publisher","offers":[{"title":"Paperback","offer_id":45117095542935,"sku":"9781087970752","price":2048.0,"currency_code":"INR","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9781087970752.webp?v=1768547076","url":"https:\/\/atlanticbooks.com\/products\/the-banking-revolution-navigating-finance-in-the-21st-century-navigati-9781087970752","provider":"Atlantic Books","version":"1.0","type":"link"}