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HOME > Client Solutions > Products > Credit & Risk > Loss Given Default Models
Loss Given Default Models

Refine the assessment of your potential exposure to defaults with S&P Global Market Intelligence’s loss given default (LGD) models and scorecards.

Overview

Employing S&P Global Ratings’ analytical methodologies, proprietary research and historical data to evaluate potential economic losses on a continuous scale, our models and scorecards incorporate qualitative and quantitative factors, and focus on sectors where default, and therefore recovery data is scarce.

  • Help meet regulatory requirements by implementing LGD methodologies to support the Advanced Internal Ratings Based approach (AIRB) under Basel regulation
  • Validate and benchmark existing models and methodologies with access to LGD client data pooling and collection exercises by region and asset class, including project finance and leveraged finance
  • Produce facility-specific estimates of LGD in the low default environment with internal ratings-based methodology leveraging the analytical processes of S&P Global Ratings

Product Screenshots

Key Features

Sharpen Your Perspective: Separation of the two credit risk dimensions, probability of default, and, risk and recovery risk, enables you to analyze and manage the distinct risks in different ways. Facilities can be structured most effectively by minimizing expected losses.
Bridge Gaps in Your Analysis: Our LGD solutions are based on thoroughly tested internal ratings-based methodologies that produce facility-specific estimates of LGD in the low default environment.

Key Features

Sharpen Your Perspective: Separation of the two credit risk dimensions, probability of default, and, risk and recovery risk, enables you to analyze and manage the distinct risks in different ways. Facilities can be structured most effectively by minimizing expected losses.
Bridge Gaps in Your Analysis: Our LGD solutions are based on thoroughly tested internal ratings-based methodologies that produce facility-specific estimates of LGD in the low default environment.

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