Credit risk topic
Estimate drawn and undrawn exposure at the point of default.
A practical guide to backtesting lifetime exposure-at-default forecasts: define mature cohorts, compare horizon-specific exposure, monitor calibration and error, and run deterministic Python with synthetic data.
A practical guide to exposure at default (EAD) and credit conversion factors (CCFs): define the observation window, build facility-level data, estimate drawdowns, handle unstable observations, validate predictions, and monitor performance. It distinguishes IFRS 9 expected drawdowns from regulatory-capital EAD.
Estimate how much additional committed credit may be used before default.
Use account paths to learn how balances evolve between an observation date and default.
Forecast exposure paths using contractual terms, utilization behavior, and account exit patterns.
Avoid carrying a prudential conversion factor into accounting measurement without reconciliation.