expected-loss

Hello, On page 8 of the study notes for P1.T1.Ch1, a statement is made about the relationship between actual loss & expected loss "The more granular (aka, less lumpy) is the credit portfolio, the more the actual losses should converge on the expected loss." Would you please elaborate on...

I'm not sure where to put this question, so I apologize if it's in the wrong thread. I read that default correlation has no influence on EL. I don't understand that. For a portfolio, EL is a simple product of EAD, PD, and LGD. In this case, PD is the combined default probability of the entire...

Hi David, There seems to be an inconsistency in the way EC is calculated. From your explanation, and the explanation in the reading, the unexpected loss is one sigma (or a multiple of sigmas) AWAY from the expected value of the portfolio, which should be the value of the portfolio minus the...