In this numerical example, I can't figure out with which numbers (when using the PV formula) to calculate exposure at default (EAD) as shown in the table.
The EAD is the value of the discounted future cashflows (CF) at the time of default.
With my calculations I do not get the EAD shown there starting from t=2. How do I replicate the the EAD in the table?
The following parameters are given in the calculation:
nominal amount: 1000 Duration: 6 years Interest rate: 10%. Effective interest rate: 10%. Date of payment of interest: Annual Credit structure: maturing loan