expected loss = probability of default * exposure at default * loss given default
PD:逾期率
EaD:风险敞口
LGD:违约损失率(1-recovery rate)
EAD=Outstanding#已用授信+ Commitment#剩余授信*UGD#usage given default#剩余授信损失概率
风控笔记-量化损失
最新推荐文章于 2022-09-28 17:51:35 发布
expected loss = probability of default * exposure at default * loss given default
PD:逾期率
EaD:风险敞口
LGD:违约损失率(1-recovery rate)
EAD=Outstanding#已用授信+ Commitment#剩余授信*UGD#usage given default#剩余授信损失概率