EU 27 and Expected Loss: Difference between pages
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imported>Doug Williamson (Create the page. Source: The Treasurer, November 2016, p11.) |
imported>Doug Williamson (Create the page to replace Expected loss page.) |
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''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. | |||
== See also == | 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 % | |||
==See also== | |||
*[[Capital adequacy]] | |||
*[[Default]] | |||
*[[Exposure At Default]] | |||
*[[Loss Given Default]] | |||
*[[Probability of Default]] |
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 %