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  • 2 EL&UL Computation

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    cpjoshi32
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    This document contains loan exposure and loss information for two industries: steel and cement. For each industry, it provides the exposure at default, probability of default, loss given default, and expected loss. It also includes the total expected loss, unexpected loss at different confidence levels, and capital requirements under varying assumptions about correlation and benefit of diversification between the two industries.

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    Computation of expected loss in banking industry

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    This document contains loan exposure and loss information for two industries: steel and cement. For each industry, it provides the exposure at default, probability of default, loss given default, and expected loss. It also includes the total expected loss, unexpected loss at different confidence levels, and capital requirements under varying assumptions about correlation and benefit of diversification between the two industries.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    7 views2 pages

    2 EL&UL Computation

    Uploaded by

    cpjoshi32
    This document contains loan exposure and loss information for two industries: steel and cement. For each industry, it provides the exposure at default, probability of default, loss given default, and expected loss. It also includes the total expected loss, unexpected loss at different confidence levels, and capital requirements under varying assumptions about correlation and benefit of diversification between the two industries.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Rs.

    Crore
    Steel
    EAD
    Share
    PD
    PD-vol
    ELGD

    50
    40%
    0.50%
    7.05%
    40%

    EL

    UL-T
    ML

    125

    Total exposure

    0.100

    1.41
    1.51067359796659
    0.20%

    4.80
    Cement
    EAD
    Share
    PD
    PD-vol
    ELGD

    75
    60%
    1.5%
    12.16%
    40%

    EL

    0.45

    UL-TY

    3.65

    4.10

    ELP
    ELP%

    0.550
    0.4400%

    0.550

    UL-P
    UL P %

    UL
    Share
    1.2193141354 25.42%
    3.5769018663 74.58%
    4.7962160017 100.00%

    MRC1
    MRC2

    11.1111111111
    53.291288908

    120.20

    5.06
    4.05%

    UL%
    Deposit
    0.98% 48.7806858646
    2.86% 71.4230981337
    3.84%

    Steel
    Cement

    % share
    Deposit
    97.56%
    95.23%

    IL
    1.2193141354
    3.5769018663
    39.7433540696

    Def. Corr

    Capital
    0%
    1957.6
    20% 2140.65
    30% 2246.54
    40% 2309.23
    50%
    2389
    75% 2577.86
    100% 2753.745

    Correl

    75%

    ULP
    Benefit

    4.796216

    3.84%

    0.26

    0.21%

    0.44%
    0.60%

    Capital
    1.2193141354
    3.5769018663

    Dep
    48.7806858646
    71.4230981337
    75
    53%

    % share
    Capital
    2.44% 100.00%
    4.77% 100.00%

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