A flexible, easily understood model for Loss Given Default backed by a robust theoretical framework and a growing set of global databases.
Overview
Standard & Poor's LossStats® Model allows you to estimate potential ultimate recovery and 30-day price recovery for given defaulted assets. By applying a mathematical framework to the LossStats® database of ultimate recovery data and distressed debt trading price information, you can forecast a distribution of loss given default (LGD) values.
Benefits
Outperforms simple and generalized beta distribution models; and
With the ability to change input variables, is flexible enough to run "what-if" and stress scenarios. These data variables include:
Debt type
Collateral type
Regional and Industry default rates
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