Sep 16

Adjusted Exposure – 7 min screencast

by David Harper, CFA, FRM, CIPM

FRM |

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Adjusted Exposure (AE) is a component of credit portfolio expected loss (EL):

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The adjusted exposure is only the risky portion of the loan asset. It consist of:

  • All outstanding (OS)
  • Usage given default (UGD) multiplied by commitments

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Usage given default (UGD) parameterizes credit optionality: with a commitment, the bank grants a “credit option” to the borrower.

Screencast:

Comments

  1. kolzhas2008 17 Sep 2008

    this is very helpful, David! thanks!

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