Interactive calculator

Scenario-weighted ECL

Compare defaults possible within 12 months or the remaining lifetime with the lifetime cash shortfalls associated with those defaults.

Scenario and exposure inputs

Default-event horizon

Base scenario weight

Downside scenario weight

Base marginal PD · year 1

Base marginal PD · year 2

Downside marginal PD · year 1

Downside marginal PD · year 2

Lifetime LGD conditional on default(decimal)

EAD at default(currency units)

Annual discount rate(decimal)

Scenario weights total: 100.0% (must equal 100%).

Calculation

Lifetime default-event window scenario-weighted ECL

Σscenario weight × Σdefault-in-period probability × lifetime LGD × EAD at default × discount factor

Base: weight 75.0%, weighted ECL 191.29.
Downside: weight 25.0%, weighted ECL 125.35.

316.643991

For the 12-month option, the calculation includes defaults possible within the next 12 months and the associated lifetime cash shortfalls after default; it does not truncate recoveries at month 12. This teaching example treats marginal PD as conditional on survival at each period start, LGD as lifetime loss severity conditional on default, and discounts the default-date loss back to the reporting date. Production IFRS 9 implementation must align contractual cash flows, staging, scenarios, discounting, and applicable accounting policy.

Educational illustration only. Check the model definition, portfolio data, model governance, and applicable accounting or regulatory requirements before operational use.