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EL-methods

Expected Loss (from Loss Distribution)


Description

Get the expected loss (EL) calculated from the portfolio loss distribution. Because of the discretization and/or simulation errors, this is not equal to the analytical EL (see EL.analyt). Please also note, that in case of a simulative model (with Bernoulli default distribution) of the CreditRisk+ type the simulated EL tends to be smaller than the analytical one because the conditional PD \overline{PD}=PD\cdot (w^Tx) has to be truncated (if \overline{PD}>1).

Usage

EL(this)

Arguments

this

Object of class GCPM

Value

numeric value of length 1

See Also


GCPM

Generalized Credit Portfolio Model

v1.2.2
GPL-2
Authors
Kevin Jakob
Initial release
2016-12-29

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