MRMS releases loss-given default predictor

Moody’s Risk Management Services (MRMS) claims its latest product, LossCalc, is the first risk management tool to predict the loss-given default (LGD) for creditors in the event of a corporate bankruptcy.

The development of an LGD tool could have important consequences for creditors under the Basel II Accord. Credit risk systems vendors mainly only provide tools to measure probability of default. Under Basel II, banks must estimate both probability of default and LGD as part of their

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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