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

Posted by Fred

Expected Loss and Unexpected Loss of Loan Portfolio

Input:
Number of Loans
Credit Exposure per Loan Dollars
Probability of Default per Year %
Recovery Rate %
Output:
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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