Expected Loss: Difference between revisions
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Revision as of 16:18, 12 November 2016
Credit risk evaluation - banking.
(EL).
Expected Loss is a regulatory calculation of the amount expected to be lost on a credit risk exposure within a 12-month timeframe.
It is calculated as:
EL = PD x EAD x LGD
Where:
EL = expected loss
PD = probability of default %
EAD = exposure at default
LGD = loss given default %
