EI

[Ened]

David,

On slide 18 of Episode 10 you don't explain what EI is in the formula:
EL=EIxPExLGE.
Please help me out

 

[David Harper CFA FRM]

Hi Ened,

Sorry, that will come up formally in Basel II: EI = exposure indicator.

for example,
operational loss for a business line/event type = gross income (EI) * PE * LGE

David