LossCalc: Moody's Model for Predicting Loss Given Default (LGD)
Abstract: This report describes and documents LossCalc, Moody's model for predicting loss given default (LGD): the equivalent of (1-recovery rate). LGD is of natural interest to investors and lenders wishing to estimate future credit losses. LossCalc is a robust and validated model of United States LGD for bonds, loans and preferred stock. It produces estimates of LGD for defaults occurring immediately and for defaults occurring in one year. These two point-in-time estimates can be used to predict LGD over differing holding periods.
Readers of this may be interested in: LossCalc v2: Dynamic Prediction of LGD
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