Calculate 12-Month Expected Credit Loss

Calculates 12-month Expected Credit Loss (ECL) for Stage 1 financial assets under IFRS 9. Formula: ECL = PD_12m * LGD * EAD * discount_factor. The 12-month ECL represents expected credit losses from default events in the next 12 months, discounted to present value using the effective interest rate. Use this for Stage 1 loan loss provisioning, quarterly financial reporting, and regulatory capital calculations for performing loans with no significant increase in credit risk. [Tier: ENTERPRISE, Credits: 10]

POST /quantlib/regulatory/ifrs9/ecl-12m

cURL

corporate_loan

curl --request POST \
  --url https://api.fincept.in/quantlib/regulatory/ifrs9/ecl-12m \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "pd_12m": 0.008,
  "lgd": 0.45,
  "ead": 1000000,
  "discount_rate": 0.055
}
'

200

{
  "success": true,
  "data": {
    "ecl_12m": 3600,
    "pd": 0.008,
    "lgd": 0.45,
    "ead": 1000000
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "body",
        "cet1_capital"
      ],
      "msg": "field required",
      "type": "value_error.missing"
    }
  ]
}

Authorizations

X-API-Key · string · header · required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

pd_12m · number · required

12-month Probability of Default (0-1)

Required range: 0 <= x <= 1

Example:

0.008

lgd · number · required

Loss Given Default (0-1) - proportion of exposure lost if default occurs

Required range: 0 <= x <= 1

Example:

0.45

ead · number · required

Exposure at Default - outstanding balance plus undrawn commitments

Example:

1000000

discount_rate · number · default: 0

Discount rate (effective interest rate) for present value calculation. Use 0 for no discounting.

Example:

0.055

Response

200

application/json

12-month ECL calculated successfully

success · boolean

Example:

true

data · object

Show child attributes