Modeling Loss Given Default

June 14, 2018

Regulators in both the US and Europe expect banks to develop a suite of robust, granular PD, LGD and EAD models for stress testing and allowance. Genpact’ s Mohammad Amir Sarosh evaluates the LGD model design and architecture suitable for banks that need to comply with CECL, IFRS 9 and CCAR.

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