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Expected loss is the value of a possible loss times the probability of that loss occurring. (see: Loss function#Expected loss) In banking lending (homes, autos, credit cards, commercial lending, etc.) a third concept is introduced to emphasize that most loans are repaid over time and therefore have a declining outstanding amount to be repaid. Additionally, loans are typically backed up by pledged collateral whose value changes ''differently'' over time vs. the outstanding loan value. In banking the three factors are: *Loss given default (LGD) * *''"magnitude of likely loss on the exposure, expressed as a percentage of the exposure"''〔(【引用サイトリンク】url=http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Loss-Given-Default.htm )〕 *Probability of default (PD) * *''"probability of default of a borrower"''〔(【引用サイトリンク】url=http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Probability-of-default.htm )〕 * Exposure at default (EAD) * *''"amount to which the bank was exposed to the borrower at the time of default, measured in currency"''〔(【引用サイトリンク】url=http://www.basel-ii-risk.com/Basel-II/Basel-II-Glossary/Exposure-at-Default.htm )〕 ==Simple example== * Original home value $100, loan to value 80%, loan amount $80 * * outstanding loan $75 * * current home value $70 * * liquidation cost $10 * Loss given default = Magnitude of likely loss on the exposure / Exposure at default * * -$75 loan receivable write off Exposure at default * * +$70 house sold * * -$10 liquidation cost paid = * * -$15 Loss * * Express as a % * * -15/75 = * * 20% Loss given default * Probability of default * * Since there is negative equity 50 homeowners out of 100 will "toss the keys to the bank and walk away", therefore: * * 50% probability of default * Expected loss * *In % * * *20% x 50% =10% * In currency * *currency loss x probability * *$15 * .5 = $7.5 *check * *loss given default * probability of default * Exposure at default *20% * 50% * $75 = $7.5 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Expected loss」の詳細全文を読む スポンサード リンク
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