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

LaTeX Math Block
\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}}

where,

LaTeX Math Inline
bodyEL_{i,t}
 is the expected loss for constituent i at time t.
LaTeX Math Inline
bodyw_{i,t}
 denotes the index weight of constituent i at time t.