Index-Level Expected Loss

The index-level expected loss is calculated as the weighted average of asset-level Expected Loss (credit risk).

$$//<![CDATA[ \begin{array}{l}\displaystyle \text{Average expected loss}_{t} = \frac{\sum\limits_{i=1}^{n} (EL_{i,t} \times w_{i,t}) }{\sum\limits_{i=1}^{n} w_{i,t}}\end{array} //]]>$$

where,
$//<![CDATA[ \begin{array}{l}EL_{i,t}\end{array} //]]>$ is the expected loss for constituent i at time t.
$//<![CDATA[ \begin{array}{l}w_{i,t}\end{array} //]]>$ denotes the index weight of constituent i at time t.