Expected Loss: Difference between revisions
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imported>Doug Williamson (Layout) |
imported>Doug Williamson (Add links.) |
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''Credit risk evaluation - banking'' | ''Credit risk evaluation - banking''. | ||
(EL). | (EL). | ||
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*[[Capital adequacy]] | *[[Capital adequacy]] | ||
*[[Default]] | *[[Default]] | ||
*[[Expected cash flow]] | |||
*[[Expected rate of return]] | |||
*[[Expected value]] | |||
*[[Exposure At Default]] | *[[Exposure At Default]] | ||
*[[Loss Given Default]] | *[[Loss Given Default]] | ||
*[[Probability of Default]] | *[[Probability of Default]] | ||
[[Category:Accounting,_tax_and_regulation]] | |||
[[Category:Identify_and_assess_risks]] | |||
Latest revision as of 18:33, 21 July 2022
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 %
