topic Re: About LGD Modeling Approach in SAS Risk Management

About LGD Modeling Approach

ertr — Sun, 21 Feb 2021 16:28:35 GMT

Hello,

Since there is no topic about modeling approaches, I am asking my question under this topic. My question will be about LGD modeling. We have some input variables for Loss Rate calculation in LGD modeling. These are;

Payment: Monthly regular payments of the loan
Indirect cost
Direct cost
Drawings

Can you explain with examples for the parts other than Payment?

Also, can you explain how Discounting is calculated?
Is there a similar web platform where I can ask such questions?

Thank you

Re: About LGD Modeling Approach

PaigeMiller — Sun, 21 Feb 2021 16:31:52 GMT

What is LGD?

Re: About LGD Modeling Approach

yot — Sun, 21 Feb 2021 18:58:47 GMT

LGD is Loss Given Default.

Re: About LGD Modeling Approach

SASKiwi — Sun, 21 Feb 2021 19:09:12 GMT

I assume you are referring to Loss Given Default in relation to the Advanced Internal Rating Based (AIRB) approach to the Basel II/III/IV banking standards. If so then unfortunately I don't believe there is a one-size-fits-all answer to this. This is because each country usually has their own rules regarding an AIRB approach and also IFRS-type accounting rules may also apply. You would be better off posing these types of questions to the modelling specialists and accounting experts in your organisation.

Re: About LGD Modeling Approach

ertr — Sun, 21 Feb 2021 21:56:07 GMT

Yes, I meant Loss Given Default.

I asked if I could get information about what I wrote above in general terms. Apart from that, I wanted to ask if there are any platforms where I can get such information.

Re: About LGD Modeling Approach

SASKiwi — Thu, 25 Feb 2021 02:57:22 GMT

@ertr - Wikipedia has quite a nice writeup of this: https://en.wikipedia.org/wiki/Loss_given_default