Exposure at Default (EAD) models with and without the Credit Conversion Factor (CCF). What are the pros and the cons of each, and which one should use a small commercial bank?
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$\begingroup$ Quite a broad topic but here is a paper that contains comparison of the two approaches and references to some related work: sciencedirect.com/science/article/pii/S0377221716001004#bib0005 $\endgroup$ – Magic is in the chain Apr 28 '19 at 1:18
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$\begingroup$ Thanks for the link. Would you say that the trend now is not to use CCF? $\endgroup$ – ps0604 Apr 28 '19 at 9:36
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$\begingroup$ You see both in practice, but it’s hard to model so the simpler the better! $\endgroup$ – Magic is in the chain Apr 28 '19 at 16:24
