Expected credit loss: Difference between revisions
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imported>Doug Williamson (Create page. Source: IFRS 9.) |
imported>Doug Williamson (Link with Discount Factor page.) |
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==See also== | ==See also== | ||
*[[Default]] | *[[Default]] | ||
*[[Discount Factor]] | |||
*[[Exposure At Default]] | *[[Exposure At Default]] | ||
*[[Financial asset]] | *[[Financial asset]] |
Revision as of 09:21, 28 May 2017
Financial reporting - impairment of financial assets - IFRS 9
(ECL).
Expected credit loss is a calculation of the present value of the amount expected to be lost on a financial asset, for financial reporting purposes.
It is calculated as:
ECL = PD x EAD x LGD x Discount Factor
Where:
ECL = expected credit loss
PD = probability of default
EAD = exposure at default
LGD = loss given default
Discount Factor is based on the expected date of default