Cos’è un tasso di recupero?

Utilizzato per la stima delle obbligazioni quotate. Il tasso di recupero (recovery rate) in questo caso è il rapporto tra il valore di mercato del titolo a trenta giorni dal default e il valore nominale dello stesso.

Why is expected loss calculated?

When analyzing default risk, banks will often calculate the EAD on a loan, as it aims to predict the amount the bank will be exposed to when a borrower defaults. Exposure at default (EAD) constantly changes as a borrower pays down their loan.

How do you calculate PD and LGD?

A bank may calculate its expected loss by multiplying the variable, EAD, with the PD and the LGD: EAD x PD x LGD = Expected Loss.

What is expected loss function?

Expected loss is the sum of the values of all possible losses, each multiplied by the probability of that loss occurring. In bank lending (homes, autos, credit cards, commercial lending, etc.) the expected loss on a loan varies over time for a number of reasons.

What is expected loss on a bond?

The expected loss is the average loss catastrophe bond investors can expect to transpire over a certain period, divided by the capital sum invested. In relation to cat bonds the expected loss is typically calculated by a third-party risk modelling entity, this includes RMS, AIR Worldwide, EQECAT, Milliman, and KatRisk.

What is expected loss rate?

The expected loss ratio is the ratio of ultimate losses to earned premiums. The ultimate losses can be calculated as the earned premium multiplied by the expected loss ratio. The total reserve is calculated as the ultimate losses less paid losses.