Expected Loss (EL) and Unexpected Loss (UL) under Actuarial Model

Posted by Fred

Expected Loss and Unexpected Loss of Loan Portfolio

Number of Loans
Credit Exposure per Loan Dollars
Probability of Default per Year %
Recovery Rate %
Expected LossDollars
Unexpected LossDollars

The calculation is based on actuarial model. The unexpected loss here is loss for 99% confidence level.

Tagged: Loan Portfolio, Expected Loss Calculator, Unexpected Loss Calculator, Actuarial Model

 •  Jan 5, 2014  • 

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