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.
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.