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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.

    Get a complete view of the depth and breadth of potential expected credit losses by combining probability of default (PD) and LGD.

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Employ our unique approach to LGD estimation

  • Estimate LGD at the exposure level

    Incorporate quantitative and qualitative factors which results in 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)

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A transparent methodology, combined with extensive sector coverage

  • Get a complete view of potential expected credit losses

    Validate and benchmark current models as each input is tailored to reflect asset-class specifics. We currently offer LGD Scorecards for the following sectors:

    • Corporate and leverage 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

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Effectively minimize expected losses.

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Demonstrated Predictive Power

  • Robust system to validate the 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 realised bond or loan losses to those predicted by our LGD Scorecards.

  • Furthermore, the performance of our LGD Scorecards is robust across both time and geography, including emerging markets and developed countries

  • Understand Your Regulatory Requirements

    Develop and implement LGD methodologies to support the Advanced Internal Ratings Based approach (AIRB) under Basel II. Enhance existing LGD models and methodologies in preparation for AIRB recognition. Validate and benchmark internally developed LGD models.

  • Distinguish Between the Good, the Bad, and the “Could-Default-At-Any-Time”

    Separation of the two credit risk dimensions–probability of default (PD) risk and recovery risk–enables you to both analyze and manage the distinct risks in different ways. Facilities can be structured most effectively by minimizing expected losses.

  • Decision-Tree Models

    Adhere to Basel II AIRB principles using Decision-Tree models, a Facility Risk Rating methodology that captures information and calculation of LGD & EAD for each facility.. Use your own empirical loss rates to the furthest extent possible in order to blend the available empirical data with in-depth analysis.

  • …and more.

    Build customized LGD & Exposure at Default (EAD) estimation methodology using existing Decision-Tree frameworks calibrated to S&P Capital IQ platform data. Access various LGD client data pooling and collection exercises, by region and asset class, including Project Finance and Leveraged Finance. Access our LossStats® model and database of recoveries.

  • Additional Features

    Increase the consistency, transparency, and granularity of your internal recovery ratings. Discover transparent and intuitive methodologies, all factors, weights and formulae are visible and documented, with detailed regulatory related documentation and on-site training.

LGD solutions, tailored just for you.

Put worry to bed by measuring your exposure to default and risk.

  • We play a vital role in helping you monitor your exposure.

  • IFRS 9 Impairment

    Calculate LGD with our 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 assessment.

  • Extensive Coverage

    Broad sector and unlimited geographic coverage with 60+ scorecards for private, public and rated companies.

  • Off the Shelf Solution

    Requires no internal development, maintenance, resources and time, available immediately.

  • Updates and maintenance

    We provide ongoing support, incorporating analytical changes and performance robust testing of models.

  • Easy and Quick Implementation

    Scorecards are delivered in excel and are technology agnostic (implemented in any system)

Leverage the power of Risk Solutions.

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Request a Demo

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Fill out the form so we can connect you to the right person.

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