Credit Risk Measurement and Models: Loss Given Default (LGD)
Interactive

Credit Risk Measurement and Models: Loss Given Default (LGD)

Intuition Publishing
Updated Sep 25, 2020

Loss given default (LGD) is a core component in determining the level of credit risk. More specifically, it is a critical element in determining regulatory capital requirements and the expected loss (EL) of a credit portfolio. Here we describe LGD and the various approaches used for determining LGD values. We also look at the key issues associated with LGD values.