Exposure at default models with and without the credit conversion factor.

•Direct EAD models ignore CCF formulation and select EAD as response variable•Performance is compared to CCF and utilization change models•Direct EAD model is more accurate in calibration than benchmark models•Direct EAD and CCF based models can be combined to drive further performance uplift•Direct EAD models without CCF formulation are an alternative for EAD modelling