Tesi di LAUREA SPECIALISTICA Titolo Credit Exposure Estimation in the Advanced IRB Framework Data 2009-07-22 Autore/i Trombini, Giorgio Relatore Barucci, E. Full text non disponibile Abstract The purpose of this work is to introduce credit exposure calculation in the Advanced Internal-Rating-Based (IRB) Basel II framework. In the first chapter we will focus on Basel II Accord and its implications for banks risk management. Therefore we will show some practical examples of estimation of credit exposure. First of all we will deal with products with analytical solutions, such as swaps, swaptions and variance swaps. Then we will introduce the Least-Square Monte Carlo algorithm, which can be applied for those securities for which numerical calculations are required and no closed-formula solution is dened. We will apply this algorithm to the VMRAN (Variable Maturity Range Accrual Note) and will show how to analyse the output of such method. To conclude we will focus on some practical issues to deal with when implementing Advanded IRB approach: data quality, calibration, validation and model governance. This will help us understand the advantages but also the limits of this credit risk management approach.