A Powerful LGD Predictor for Assessing and Managing Risk
The superior accuracy of LossCalc™ comes from the inclusion of dynamic, forward-looking indices to capture the correlation between default risk and recoveries. LossCalc™ significantly improves upon the use of one-dimensional historical recovery averages by incorporating intuitive drivers of LGD into an analytical framework.
The Difference: Range of Asset Classes and a Comprehensive Database of Defaulted Instruments
LossCalc™ calculates the LGD for loans, bonds, sovereigns, municipals and preferred stock using the following drivers:
- Firm-specific default probability
- Collateral
- Debt type
- Seniority class
- Geography
- Industry
LossCalc™ is based on detailed market and security level recovery data from Moody’s proprietary global database, compiled over the last two decades with more than 4,000 defaulted instruments of rated and unrated public and private firms.