This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Regulators argue a backstop is needed to avoid too-low modelled numbers
The simple link from default to LGD
Systematic risk factors redefined
Breaking break clauses
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive