Exposure at Default Models
Calculate the Exposure at Default (EAD) using a Regression, Tobit, or Beta model to predict the amount of loss exposure for a bank when a debtor defaults on a loan. Calculate the estimated loss reserves using Expected Credit Loss (ECL) calculator.
Functions
Objects
Regression | Create Regression model object for exposure at
default (Since R2021b) |
Tobit | Create Tobit model object for exposure at
default (Since R2021b) |
Beta | Create Beta model object for exposure at default (Since R2022b) |
Topics
- Compare Results for Regression and Tobit EAD Models
This example shows how to use
fitEADModel
to create aRegression
model and aTobit
model for exposure at default (EAD) and then compare the results. - Expected Credit Loss Computation
This example shows how to perform expected credit loss (ECL) computations with
portfolioECL
using simulated loan data, macro scenario data, and an existing lifetime probability of default (PD) model. - Incorporate Macroeconomic Scenario Projections in Loan Portfolio ECL Calculations
This example shows how to generate macroeconomic scenarios and perform expected credit loss (ECL) calculations for a portfolio of loans.
- Modeling Probabilities of Default with Cox Proportional Hazards
This example shows how to work with consumer (retail) credit panel data to visualize observed probabilities of default (PDs) at different levels.
- Overview of Exposure at Default Models
Exposure at default (EAD) is the loss exposure for a bank when a debtor defaults on a loan.