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Exposure at default or (EAD) is a parameter used in the calculation of economic capital or regulatory capital under Basel II for a banking institution. It can be defined as the gross exposure under a facility upon default of an obligor. [1] [2] Outside of Basel II, the concept is sometimes known as Credit Exposure (CE). It represents the ...
where is the maturity of the longest transaction in the portfolio, is the future value of one unit of the base currency invested today at the prevailing interest rate for maturity , is the loss given default, is the time of default, () is the exposure at time , and (,) is the risk neutral probability of counterparty default between times and .
The services and protocols specified in IEEE 802 map to the lower two layers (data link and physical) of the seven-layer Open Systems Interconnection (OSI) networking reference model. IEEE 802 divides the OSI data link layer into two sub-layers: logical link control (LLC) and medium access control (MAC), as follows:
The term Foundation IRB or F-IRB is an abbreviation of foundation internal ratings-based approach, and it refers to a set of credit risk measurement techniques proposed under Basel II capital adequacy rules for banking institutions.
Estimate the risk parameters—probability of default (PD), loss given default (LGD), exposure at default (EAD), maturity (M)—that are inputs to risk-weight functions designed for each asset class to arrive at the total risk weighted assets (RWA) The regulatory capital for credit risk is then calculated as 8% of the total RWA under Basel II.
Banks can determine their own estimation for some components of risk measure: the probability of default (PD), loss given default (LGD), exposure at default (EAD) and effective maturity (M). For public companies, default probabilities are commonly estimated using either the "structural model" of credit risk proposed by Robert Merton (1974) or ...
OSI had two major components: an abstract model of networking, called the Basic Reference Model or seven-layer model, and a set of specific protocols. The OSI reference model was a major advance in the standardisation of network concepts. It promoted the idea of a consistent model of protocol layers, defining interoperability between network ...
Quality of service (QoS) is the description or measurement of the overall performance of a service, such as a telephony or computer network, or a cloud computing service, particularly the performance seen by the users of the network.