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Loss Given Default Models

Estimate loss given default

Loss given default (LGD) estimates loss reserves using Regression and Tobit models.

Functions

fitLGDModelCreate specified LGD model object type
predictPredict loss given default
modelDiscriminationCompute AUROC and ROC data
modelDiscriminationPlotPlot ROC curve
modelAccuracyCompute R-square, RMSE, correlation, and sample mean error of predicted and observed LGDs
modelAccuracyPlotScatter plot of predicted and observed LGDs

Objects

RegressionCreate Regression model object for loss given default
TobitCreate Tobit model object for loss given default

Examples and How To

Basic Loss Given Default Model Validation

This example shows how to perform basic model validation on a loss given default (LGD) model by viewing the fitted model, estimated coefficients, and p-values.

Compare Tobit LGD Model to Benchmark Model

This example shows how to compare a Tobit model for loss given default (LGD) against a benchmark model.

Compare Loss Given Default Models Using Cross-Validation

This example shows how to compare loss given default (LGD) models using cross-validation.

Concepts

Overview of Loss Given Default Models

Loss given default (LGD) is the proportion of a credit that is lost in the event of default.

Featured Examples