路过！！！

违约风险主要是通过历史违约概率来计算的，在银行体系中，首先你要把内部转移定价搞清楚。对于不同的资产，它的计算方法也不同，一般文献中只是一些基本的介绍，在实际的银行体系中是很复杂的，一般找不到公开的资料。在我国由于历史数据的缺乏，西方的这些复杂方法很多时候都没有用，银行业在探索之中，国内做的最好的是中国建设银行，但是效果也不是很好。西方最好的是花旗银行。

Calculating EAD under foundation approachUnder F-IRB EAD is calculated taking account of the underlying asset, forward valuation, facility type and commitment details. This value does not take account of guarantees, collateral or security (i.e. ignores Credit Risk Mitigation Techniques with the exception of on-balance sheet netting where the effect of netting is included in Exposure At Default). For on-balance sheet transactions, EAD is identical to the nominal amount of exposure. On-balance sheet netting of loans and deposits of a bank to a corporate counterparty is permitted to reduce the estimate of EAD under certain conditions. For off-balance sheet items, there are two broad types which the IRB approach needs to address: transactions with uncertain future drawdown, such as commitments and revolving credits, and OTC foreign exchange, interest rate and equity derivative contracts.

就是违约时点（或者评价时点）表内项目和表外项目的风险暴露总额，包括已使用的授信余额、应收未收利息、未使用授信额度的预期提取数量以及可能发生的相关费用等。和具体业务有关，比如一个本金为1000的贷款业务，如果违约时点的剩余本金是500万，应收未收利息为100万，那么暴露就是600万。

基本上可以参照以下分类来进行：
对表内资产来说，ead=nominal
对于表外资产，衍生品除外，ead = nominal * ccf
对于衍生品, ead = max(fair_value,0) + add_on