The primitive every other function of the module uses: pd * lgd * ead
for performing exposures and elbe * ead for defaulted ones, elbe
being the best estimate of expected loss. A defaulted exposure without
elbe uses lgd (PD equal to one). Arguments are recycled to a common
length.
Usage
scr_el(pd, lgd, ead, defaulted = NULL, elbe = NULL)
Arguments
- pd, lgd, ead
Numeric vectors: probability of default, loss given
default (decimals) and exposure at default (currency).
- defaulted
Optional 0/1 or logical vector.
- elbe
Optional vector with the best estimate of expected loss of
the defaulted rows (decimal of ead); ignored on performing rows.
Value
A numeric vector with the expected loss in currency.
Examples
scr_el(c(0.01, 0.02), 0.45, c(1000, 2000))
#> [1] 4.5 18.0
scr_el(0.02, 0.45, 1000, defaulted = TRUE, elbe = 0.6)
#> [1] 600
