Credit Expected-Loss & Exposure

# Credit Expected-Loss & Exposure

**Role relevance:** Credit Risk take-home
**Estimated time:** 45 minutes
**Difficulty:** Intermediate
**Format:** Excel (.xlsx)

## What you are given
- credit_expected_loss_exposure_starter.xlsx with five counterparties and fourteen open derivative trades
- PD, recovery, limit, collateral and a netting flag per counterparty

## What you must deliver
1. Netted exposure per counterparty, after collateral
2. Expected loss per name with LGD derived from the recovery rate
3. Portfolio totals for both exposure and expected loss
4. A utilisation column and a breach flag

## Constraints & assumptions
Netting applies only within a counterparty that has an agreement. Without one, exposure is the sum of positive mark-to-market only. Exposure is floored at zero.

## Submission note
Complete the starter file, then compare your work against the mark scheme.