Kick-off meeting “LGD Reference Model”
In 2018, GCD has published for the first time its LGD Report Large Corporate – examining the Loss Given Default (LGD) for banks lending to corporate borrowers with a turnover of more than €50m. The report finds that banks, on average, recover 75% of debts owed by large corporate borrowers after default and confirms the hitherto untested principle that seniority and collateral drive low rates of LGD. Following this, we now move into a new phase. GCD has partnered with FCG to help banks to benchmark their LGD models with a reference model to be built on GCD data. The work will include Building a RDS on GCD's increasing data set Exploration of traditional modelling techniques (to identify drivers of LGD) Applying machine learning techniques Discussion on the requirements of a good challenger model/method to be embedded in banks' processes Analysing unsecured as well as secured facilities, including different kinds of collateral Publication Members have been invited to join the kick-off meeting and share their view on the concrete deliverables and how this working group should be run in order to ensure an outcome which is useful for members and publishable. The meeting has been recorded and the recording is available here. Location:Zoom call
