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LGD |
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CRE] is calibrated using an extensive, proprietary database sample of defaulted and non-defaulted loans, and measures probability of default, loss given default, and expected loss for a loan, portfolio, or securitized pool. He also established a number of bank data consortiums for the collection of loss given default (LGD) data in Asia Pacific. When Fitch reviews the investment portfolio of an insurance company, Fitch applies a stochastic (statistical) approach that includes loss given default and the effect on market price of the fluctuation due to interest rates, credit spreads, and rating migrations. |
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