A
AcadiFi
Credit Risk Measurement & ManagementMedium

Bancroft National Bank estimates the following credit parameters for a corporate loan portfolio: probability of default (PD) of 2.5%, loss given default (LGD) of 45%, and exposure at default (EAD) of $120 million. The bank also estimates a maturity adjustment factor of 1.12. What is the expected loss (EL) on this portfolio?