how do i calculate the CECL? The equation for the Expected Loss Model (ECL) is:

$ EL=PD*EAD*LGD$ (Lifetime ECL for Stage 2 & 3)

I would like to do a comparative calculation for my bachelor thesis. I have already calculated all impairments for the incurred and expected loss model. (Table is in German: Risikovorsorge = Loan loss provision; Zeitpunkt = Time)

Can someone show me how to calculate the CECL?

Nominal amount: 1.000.000€

Duration: 4 Years

Interest rate: 5%

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  • 2
    $\begingroup$ You may find the references here quant.stackexchange.com/questions/59233/… helpful $\endgroup$ – Dimitri Vulis Dec 12 '20 at 16:11
  • $\begingroup$ hey, thank you for the literature tips! They have definitely brought me further. Unfortunately, I still haven't quite solved the problem and need help with the calculation in Excel. $\endgroup$ – Dennis Khavkin Dec 13 '20 at 8:24

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