| 词条 | Expected loss |
| 释义 |
Expected loss is the sum of the values of all possible losses, each multiplied by the probability of that loss occurring. In bank lending (homes, autos, credit cards, commercial lending, etc.) the expected loss on a loan varies over time for a number of reasons. Most loans are repaid over time and therefore have a declining outstanding amount to be repaid. Additionally, loans are typically backed up by pledged collateral whose value changes differently over time vs. the outstanding loan value. Three factors are relevant in analyzing expected loss:
Simple example
Recalculating expected lossExpected loss is not time-invariant, but rather needs to be recalculated when circumstances change. Sometimes both the probability of default and the loss given default can both rise, giving two reasons that the expected loss increases. For example, over a 20-year period only 5% of a certain class of homeowners default. However, when a systemic crisis hits, and home values drop 30% for a long period, that same class of borrowers changes their default behavior. Instead of 5% defaulting, say 10% default, largely due to the fact the LGD has catastrophically risen. To accommodate for that type of situation a much larger expected loss needs to be calculated. This is the subject to considerable research at the national and global levels as it has a large impact on the understanding and mitigation of systemic risk.[4][5][6][7][8][9] See also
References1. ^{{cite web|title=Basel Glossary PD|url=http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Probability-of-default.htm|publisher=Basel|accessdate=2 February 2013}} {{finance-stub}}2. ^{{cite web|title=Basel Glossary EAD|url=http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Exposure-at-Default.htm|publisher=Basel|accessdate=2 February 2013|deadurl=yes|archiveurl=https://web.archive.org/web/20120705000114/http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Exposure-at-Default.htm|archivedate=5 July 2012|df=}} 3. ^{{cite web|title=Basel Glossary LGD|url=http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Loss-Given-Default.htm|publisher=Basel|accessdate=2 February 2013|deadurl=yes|archiveurl=https://web.archive.org/web/20130421005422/http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Loss-Given-Default.htm|archivedate=21 April 2013|df=}} 4. ^{{cite web|title=Regulatory use of system-wide estimations of PD, LGD and EAD|url=http://www.bis.org/fsi/awp2010.pdf|publisher=BIS|accessdate=2 February 2013}} 5. ^{{cite web|title=QIS 3 FAQ: I. IRB-inputs: PD, LGD and EAD|url=http://www.bis.org/bcbs/qis/qis3qa_i.htm|publisher=BIS|accessdate=2 February 2013}} 6. ^{{cite web|title=Implications of PD-LGD Correlation in a Portfolio|url=http://www.moodysanalytics.com/~/media/Insight/Quantitative-Research/Portfolio-Modeling/10-05-02-Implications-of-PD-LGD-Correlation-in-a-Portfolio-Setting.ashx|publisher=Moodys|accessdate=2 February 2013}} 7. ^{{cite web|title=Expected loss (EL) on credit asset if PD, LGD are correlated|url=https://www.youtube.com/watch?v=VDclV26iVOw|publisher=bionicturtledotcom|accessdate=2 February 2013}} 8. ^{{cite web|last=Schuermann|first=T|title=What Do We Know About Loss Given Default?|url=http://fic.wharton.upenn.edu/fic/papers/04/0401.pdf|publisher=Wharton|accessdate=2 February 2013}} 9. ^{{cite web|title=Expected Loss|url=http://info.worldbank.org/etools/docs/library/86252/carmichael02[1].ppt|publisher=World Bank|accessdate=2 February 2013}} 2 : Financial risk|Loans |
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