Document

Topics:
Unresolved defaults
Description:
This report describes the Global Credit Data (GCD) methodology for calculating loss given defaults (LGDs) for unresolved loans. The methodology benefits from GCD’s detailed and granular collection of post-default cash flow data and is based on extrapolations of historical recovery cash flows refined by the usage of risk drivers.
The methodology provides a straightforward, data-driven way of incorporating incomplete workout processes in the estimation of longrun average LGDs. Extensive validation both in- and out-of-sample has shown that the method works well in predicting LGDs for unresolved defaults.
File Type:
GCD publications
File:

Publication Year:
2020
Groups audience:
Workflow status:
Final
Group content visibility:
Use group defaults