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fin.credit-risk-PD-LGD Calculator
Calculates expected loss (EL = PD × LGD × EAD), unexpected loss, and risk-weighted assets from credit risk parameters. The Basel framework requires capital equal to a multiple of unexpected loss — EL is provisioned through loan loss reserves, UL requires regulatory capital.
Inputs
Pd Pct
Reference formula or conversion factor shown for context.
Lgd Pct
Reference formula or conversion factor shown for context.
Ead Usd
Reference formula or conversion factor shown for context.
Results
expected loss EL ($)
The decrease or degradation from the baseline.
unexpected loss UL ($)
The decrease or degradation from the baseline.
risk-weighted assets RWA ($)
The computed weight (gravitational force) or mass.
EL = PD × LGD × EAD
Reference formula or conversion factor shown for context.
required capital (8% of RWA)
Reference formula or conversion factor shown for context.
risk-adjusted return
Overall risk level based on the computed score or classification. Higher risk may call for mitigating actions or additional review.