Evaluate potential economic losses
Incorporate qualitative and quantitative factors, with a focus on sectors where data is hard to find.
Help meet regulatory requirements
Our methodologies support the Advanced Internal Ratings Based approach under Basel regulation.
Validate and benchmark current models
We pool LGD client data by region and asset class, including project and leveraged finance.
Loss Given Default
Don’t settle into default mode. Proactively evaluate potential loss.
Refine the assessment of your potential exposure to defaults with S&P Global Market Intelligence’s loss given default (LGD) models and scorecards.
Employ S&P Global Ratings’ proprietary research, methodologies, and data.
A transparent methodology, combined with extensive sector coverage.
Produce facility-specific estimates
Of LGD in the low default environment with internal ratings-based methodology leveraging the analytical processes of S&P Global Ratings.
Sharpen your perspective
Separation of the two credit risk dimensions—probability of default and recovery risk—enables you to analyze and manage the distinct risks in different ways.
Bridge gaps in your analysis
We thoroughly test our ratings-based solutions to produce facility-specific estimates of LGD in the low default environment.
-
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 Gad, 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)