| EL-methods {GCPM} | R Documentation |
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 |
Value
numeric value of length 1
See Also
[Package GCPM version 1.2.2 Index]