Measuring LGD on Commercial Loans: An 18-Year Internal Study

by Michel Araten of JP Morgan Chase,
Michael Jacobs Jr. of JP Morgan Chase, and
Peeyush Varshney of JP Morgan Chase

May 2004

Abstract: This article presents findings of and highlights issues associated with an extensive internal loss severity study for the JPMorgan Chase (JPMC) wholesale bank. The recently completed loss given default (LGD) study draws upon 18 years of loan loss history at JPMC for 3,761 defaulted borrowers at its several heritage organizations.

Published in: RMA Journal, Vol. 86, No. 8, (May 2004), pp. 28-35.

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