Expected credit loss

From ACT Wiki
Revision as of 12:25, 6 July 2022 by Doug Williamson (Talk | contribs) (Add link.)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to: navigation, search

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


See also