Expected Loss
From ACT Wiki
Jump to navigationJump to search
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 %
