Expected Loss

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 %

See also

• Capital adequacy
• Default
• Exposure At Default
• Loss Given Default
• Probability of Default