Skip to main content
Skip table of contents

2.6.11 Index-level expected loss

The index-level expected loss is calculated as the weighted average of asset-level expected loss.

where:
 is the expected loss for constituent i at time t.
 denotes the index weight of constituent i at time t.

JavaScript errors detected

Please note, these errors can depend on your browser setup.

If this problem persists, please contact our support.