Expected Loss Calculator

Expected loss as the product of loan amount, probability of default, loss given default, and exposure at default.

1. Inputs

Loan Risk Parameters

Loan Amount

Probability of Default PD

Loss Given Default LGD

Exposure at Default EAD

2. Expected Loss

Loan Amount$10,000.00

× PD 5.00%

× LGD 40.00%

× EAD 50.00%

EL = Loan × PD × LGD × EAD

Expected Loss

$100.00

1.00%of loan amount

Average loss across the obligor distribution

NOTE Expected Loss is the statistical average across many similar obligors. It is the loss the institution expects to incur and is typically priced into the loan. Use this model for training purposes only.