Concepedia

Exposure At Default

Exposure At Default is a financial risk metric that quantifies the total value at risk when a counterparty fails to meet its contractual obligations under a financial agreement.

10

Publications

503

Citations

16

Authors

11

Institutions

Publications per year

2017–2026

1

Variants

Ead

Parents

Publications

10

Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs

Michel Dietsch, Joël Petey · Journal of Banking & Finance · 2003 · 200 citations

, , +15

Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs

Michel Dietsch, Joël Petey · Journal of Banking & Finance · 2004 · 129 citations

, , +15

Pricing counterparty risk at the trade level and credit valuation adjustment allocations

Michael Pykhtin, Dan Rosen · The Journal of Credit Risk · 2010 · 30 citations

, , +15

Modeling exposure at default and loss given default: empirical approaches and technical implementation

Bill Huajian Yang, Mykola Tkachenko · The Journal of Credit Risk · 2012 · 28 citations

, , +17

Derivatives Clearing, Default Risk, and Insurance

Christophe Pérignon · Journal of Risk & Insurance · 2012 · 24 citations

, , +17

1–5 of 10

Authors

16

  1. MP
    Michael Pykhtin

    Federal Reserve, United States

    2 publications · 52 citations

    2

    h-index

  2. JP
    Joël Petey

    Université de Lille, France

    2 publications · 329 citations

    2

    h-index

  3. MD
    Michel Dietsch

    Banque de France, France

    2 publications · 329 citations

    2

    h-index

  4. DR
    Dan Rosen

    University of Toronto, Canada

    2 publications · 52 citations

    2

    h-index

  5. RT
    Ross Taplin

    Curtin University, Australia

    1 publications · 16 citations

    1

    h-index

1–5 of 16

Institutions

11

  1. Université de Lille

    Lille, France

    2 h-index

    2 publications

    329 citations

  2. Institute of International Education

    New York, United States

    1 h-index

    1 publications

    22 citations

  3. University of Duisburg-Essen

    Essen, Germany

    1 h-index

    1 publications

    22 citations

  4. Technische Universität Braunschweig

    Braunschweig, Germany

    1 h-index

    2 publications

    44 citations

  5. Federal Reserve Board of Governors

    Washington D.C., United States

    1 h-index

    1 publications

    22 citations

  6. New Jersey Department of Environmental Protection

    Trenton, United States

    1 h-index

    1 publications

    12 citations

  7. Simon Fraser University

    Burnaby, Canada

    1 h-index

    1 publications

    24 citations

  8. Read Jones Christoffersen (Canada)

    Vancouver, Canada

    1 h-index

    2 publications

    48 citations

1–8 of 11

Venues

  1. The Journal of Credit Risk

    4 publications · 94 citations

    4

    h-index

  2. Journal of Banking & Finance

    3 publications · 351 citations

    3

    h-index

  3. Journal of Risk & Insurance

    1 publications · 24 citations

    1

    h-index

  4. SSRN Electronic Journal

    Repository · 1 publications · 22 citations

    1

    h-index

  5. Environmental Research

    1 publications · 12 citations

    1

    h-index

1–5