Portfolio Loss Allowance

Definition

The portfolio loss allowance is the sum of individual credit asset loss allowances:

${\mbox{PLA}}_{t,T}=\sum _{i}^{N}\left(1_{\{S_{t}^{i}=1\}}{\mbox{ECL}}_{t,12m}^{i}+1_{\{S_{t}^{i}=2\}}{\mbox{ECL}}_{t,T_{i}}^{i}+1_{\{S_{t}^{i}=3\}}{\mbox{EAD}}_{t}^{i}\,{\mbox{LGD}}_{t}^{i}\right)$

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