Expected Loss per Year: PD × LGD × EAD on an Amortising Loan
This lesson is part of the course
In this lesson
You build Kestrel's exposure, survival and default probability year by year, add up the lifetime expected loss and turn it into an average yearly EL rate for pricing.
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Lessons in this course
- Loan Pricing Build-Up: Funding, Costs, Expected Loss, Capital & MarginFree
- Expected Loss per Year: PD × LGD × EAD on an Amortising Loan Locked
- Unexpected Loss, Economic Capital & the Cost of Capital Locked
- RAROC: Risk-Adjusted Return on Capital vs the Hurdle Rate Locked
- Solving for the Minimum Loan Rate that Hits the Hurdle Locked
- Relationship Pricing: Deposits and Fees that Lower the Loan Rate Locked
- Pricing Grid by Rating and Tenor: A Two-Way Table Locked
- Portfolio RAROC and Loan Approval Decisions Locked