Calculate Lifetime Expected Credit Loss

Calculates Lifetime Expected Credit Loss (ECL) for Stage 2 and Stage 3 financial assets under IFRS 9. Uses time-series curves of PD, EAD, and discount rates over the expected life of the instrument. Formula: sum over all periods of (PD_t * LGD * EAD_t * discount_factor_t). Lifetime ECL captures all expected credit losses over the remaining life of the instrument. Use this for Stage 2 (SICR) and Stage 3 (credit-impaired) loan loss provisioning and financial reporting. [Tier: ENTERPRISE, Credits: 10]

POST /quantlib/regulatory/ifrs9/ecl-lifetime

cURL

stage2_amortizing_loan

curl --request POST \ --url https://api.fincept.in/quantlib/regulatory/ifrs9/ecl-lifetime \ --header 'Content-Type: application/json' \ --header 'X-API-Key: <api-key>' \ --data ' { "pd_curve": [ 0.015, 0.02, 0.025, 0.03, 0.035 ], "lgd": 0.45, "ead_curve": [ 1000000, 800000, 600000, 400000, 200000 ], "discount_rates": [ 0.055, 0.055, 0.055, 0.055, 0.055 ] } '

200

{
  "success": true,
  "data": {
    "lifetime_ecl": 65250
  }
}

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_curve · number[] · required

Probability of Default for each period over the life of the instrument (e.g., annual PDs for a 5-year loan)

Required range: 0 <= x <= 1

Example:

[0.015, 0.02, 0.025, 0.03, 0.035]

lgd · number · required

Loss Given Default (0-1) - assumed constant over life

Required range: 0 <= x <= 1

Example:

0.45

ead_curve · number[] · required

Exposure at Default for each period (may decrease for amortizing loans or increase for revolving facilities)

Example:

[1000000, 800000, 600000, 400000, 200000]

discount_rates · number[] · required

Discount rates (effective interest rate) for each period for present value calculation

Example:

[0.055, 0.055, 0.055, 0.055, 0.055]

Response

200

application/json

Lifetime ECL calculated successfully

success · boolean

Example:

true

data · object

Show child attributes