Atlas / Glossary / Loss given default (LGD)Loss given default (LGD) The share of exposure lost when a borrower defaults — one minus the recovery rate . Expected loss is default probability times LGD times exposure, and recoveries fall exactly when defaults rise.
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Where Loss given default is explained in depth The definition above is the short version. These pages put it to work, in the order they use it most:
Terms this definition uses The whole glossary
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