Standard & Poor’s Risk Solutions' Loss Given Default Templates provide an estimation of the distribution of stressed economic value relative to the debt profile in the region of default, using Standard & Poor’s proprietary methodology, or specific client requirements. Loss Given Default Templates deliver a grade that is assigned a recovery range.
Sample Parameters:
Inputs – Economic value of collateral, standard deviation of economic value of collateral, haircut for liquidation value, recovery policy (economic value, liquidity value), PD rating of a borrower, total debt, facility debt;
Results - LGD result (point estimate), LGD recovery range, loss distribution.
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