Expected loss calculator
Enter each segment’s balances, credit conversion factor, PD and LGD. See expected loss by segment and for the book, then use it in automated credit decisions so price and limit follow each application’s expected loss.
Expected loss
The Cards segment carries 32.6% of expected loss on 7.7% of exposure. The stress adds €5,717,375, a rise of 78.2%.
Expected loss by segment
Dark bars show each segment’s expected loss, and red bars show its expected loss under stress.
Book by segment
| Segment | EAD | One-year PD | LGD | Expected loss | Loss rate | Share of exposure | Share of expected loss | Stressed loss |
|---|---|---|---|---|---|---|---|---|
| Cards | €70,000,000 | 4.00% | 85.0% | €2,380,000 | 3.40% | 7.7% | 32.6% | €3,990,000 |
| Personal loans | €120,000,000 | 2.50% | 65.0% | €1,950,000 | 1.63% | 13.1% | 26.7% | €3,375,000 |
| Mortgages | €615,000,000 | 0.60% | 15.0% | €553,500 | 0.09% | 67.4% | 7.6% | €1,383,750 |
| SME loans | €89,000,000 | 3.50% | 45.0% | €1,401,750 | 1.58% | 9.7% | 19.2% | €2,569,875 |
| BNPL | €19,000,000 | 6.00% | 90.0% | €1,026,000 | 5.40% | 2.1% | 14.0% | €1,710,000 |
| Book | €913,000,000 | €7,311,250 | 0.80% | 100.0% | 100.0% | €13,028,625 |
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Put PD, LGD and exposure into automated credit decisions, so price and limit follow each application’s expected loss. Start free
Show formulas
EAD = Drawn balance + Undrawn limit × Credit conversion factor Expected loss = One-year PD × LGD × EAD Loss rate = Expected loss ÷ EAD Stressed loss = min(1, One-year PD × PD multiplier) × min(1, LGD + LGD increase) × EAD
The calculation uses a flat PD for one year, with no discounting or correlation. It excludes unexpected loss and capital, and is not an accounting or regulatory figure.
Calculate expected loss
Exposure at default is drawn balance plus undrawn limit multiplied by the credit conversion factor. Expected loss is PD multiplied by LGD and EAD.
Expected loss shows what a credit book costs in credit losses in an ordinary year. Compare each segment’s expected loss with its share of exposure, then see how a PD and LGD stress changes the result.
Expected loss questions
How do I calculate expected loss from PD, LGD and EAD?
Multiply PD by LGD and EAD to calculate expected loss. The tool shows the result for each segment and for the book.
How do I calculate exposure at default with a credit conversion factor?
Multiply the undrawn limit by the credit conversion factor, then add the drawn balance. The result is EAD.
What is the difference between expected loss and expected credit loss?
This tool calculates one-year expected loss from PD, LGD and EAD. Expected credit loss can include stages, lifetime estimates and scenarios.
How does a PD and LGD stress change expected loss?
The stress multiplies each PD and adds percentage points to each LGD, with each capped at 100%. The tool shows the resulting expected loss and the increase.
Why does expected loss matter for loan pricing?
Expected loss sits under loan pricing and limits. The result shows expected loss for the book and for each segment.