Risk-Enterprise > Corporate LGD Model

Corporate LGD Model

The Loss Given Default (LGD) model for the assessment of facility LGD for secured and unsecured loans / or investments. It provides a decision supporting tool in low default environment in the unrated universe
RiskE LGD evaluation model for evaluating facilities in low default sectors. The outcome of the model link to an LGD estimate

A model is a practical approach to LGD evaluation that replicates relevant aspects of recovery rating criteria and assists in standardizing LGD assessments that are predictive of future LGDs
Reflecting the different risk characteristics across asset classes this standard approach is customised to each distinct asset class

LGD is a ratio of loss on the exposure of resulting from a default
Combined use of PD and LGD models provides assessment of probability of default of a performing corporate entity, then, if a default occurs the assessment of the loss on the exposure resulting from a default – the Loss estimate

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