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

  title={Measuring LGD on Commercial Loans : An 18-Year Internal Study by},
  author={Michel Araten and Michael David Jacobs and Peeyush Varshney},
parameters in a bank’s risk-rating system that impact facility ratings, approval levels, and the setting of loss reserves, as well as developing credit capital underlying risk and profitability calculations. LGD can be measured as either the net charge-off rate (accounting LGD), or the present value of cash losses (economic LGD), with respect to the initial book value of a defaulted obligation. Analysis of JPMC’s loss history entailed compilation of quarter-end book balances, charge-offs… CONTINUE READING
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