S&P Capital IQ offers clients multiple ways to assess Loss Given Default (LGD). Through Models and Scorecards our tools help clients evaluate potential economic losses and meet regulatory requirements.
Our Decision-tree Model calculates LGD and Exposure at Default (EAD) for each facility. This hybrid approach uses clients' empirical loss rates to the furthest extent possible and blends your available empirical data with external sources such as S&P Capital IQ's LossStats database. To the extent possible, the Decision Tree Model incorporates each client's expertise with that of S&P Capital in the model development including things such as: risk drivers and the number and complexity of collateral paths in the Model.
We also offer LGD Scorecards that produce a point LGD estimate on a continuous scale, which can then be mapped to any discrete recovery scale. There are more than a dozen industry and asset class specific off-the-shelf LGD Scorecards.