Loss Given Default
Don’t Veer into Default Mode. Proactively Evaluate Loss Given Default
Refine the assessment of your potential exposure to defaults with S&P Global Market Intelligence’s loss given default (LGD) models and Scorecards.
Key Features
Unique Approach to LGD Estimation
Incorporate qualitative and quantitative factors to produce bond-specific forward-looking estimates of loss for secured or unsecured loan exposures.
Transparent Methodology
Validate and benchmark current models as each input is tailored to reflect asset-class specifics.
Demonstrated Predictive Power
Our LGD Scorecards are updated annually to reflect new data and market changes. We also conduct backtesting to compare actual losses to predicted losses.
How it Works
Employ Our Unique Approach to LGD Estimation
Estimate LGD at the Exposure Level
Incorporate quantitative and qualitative factors to assess bond-specific, forward-looking estimates of loss for any secured or unsecured loan exposure.
Our six drivers of loss include:
- Pre- and post-default quantity and riskiness of cash flow/assets/economic value
- Seniority of exposure (e.g., senior bond)
- Jurisdiction
- Economic expectations
- Collateral and guarantees/insurance
- Recovery costs and workout policy (restructuring versus disposal)
A Transparent Methodology, Combined With Extensive Sector Coverage
Get a Complete View of Potential Expected Credit Losses
Validate and benchmark current models; each input is tailored to reflect asset-class specifics. We currently offer LGD scorecards for the following sectors:
- Corporate and leveraged finance – including over 60 corporate subsectors
- Asset finance – marine, aviation, and container leasing
- Project finance – infrastructure, energy (traditional/alternative), and natural resources
- Oil and gas – downstream, midstream, and upstream
- Sovereigns
- Local and regional governments
- Trade finance
- Financial institutions – banks, insurance, and non-bank financial institutions
Demonstrated Predictive Power
Robust System to Validate Accuracy and Consistency
- We undertake an annual validation of our LGD Scorecards, evolving them to reflect additional data availability and structural shifts in markets. Additionally, we conduct backtesting, which involves comparing actual or realized bond or loan losses to those predicted by our LGD Scorecards.
- The performance of our LGD Scorecards is robust across both time and geography, including emerging markets and developed countries.
We play a vital role in helping you monitor your exposure
Meet Regulatory Requirements
Calculate LGD with our IFRS 9 and Basel compliant scorecard used by credit institutions.
Data Enhancement
CreditPro® provides data on over 1000+ defaulted public and private U.S. companies since 1987.
Proven Methodology
Leverage 150+ years of S&P Global Ratings’ subject-matter expertise in credit assessments.
Extensive Coverage
Broad sector and unlimited geographic coverage with 70+ scorecards for private, public, and rated companies.
Off the Shelf Solution
Requires no internal development, maintenance, resources, or time. Available immediately.
Updates and Maintenance
We provide ongoing support, incorporating analytical changes and performing robust testing of models.
Request Follow Up
Get a complete view of the depth and breadth of potential expected credit losses by combining PD and LGD with our Scorecards and models. Contact us today.