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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