Expected credit loss: Difference between revisions
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Revision as of 12:15, 15 February 2018
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
