Expected Credit Loss API Reference
This page documents the API for the Expected Credit Loss function in Pypulate.
Expected Credit Loss (ECL) calculation.
expected_credit_loss(pd, lgd, ead, time_horizon=1.0, discount_rate=0.0)
Calculate expected credit loss.
ECL = PD × LGD × EAD × Discount Factor
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
pd
|
float
|
Probability of default |
required |
lgd
|
float
|
Loss given default (as a decimal) |
required |
ead
|
float
|
Exposure at default |
required |
time_horizon
|
float
|
Time horizon in years |
1.0
|
discount_rate
|
float
|
Discount rate for future losses |
0.0
|
Returns:
| Type | Description |
|---|---|
dict
|
ECL and components |