Unresolved Defaults LGD Study 2020

Document

Author: 
Nina Brumma, Nunzia Rainone
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
Publication Year: 
2020
Groups audience: 
Workflow status: 
Final
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