Loss given default in a downturn: How can we learn from historical data, asks GCD’s Richard Crecel in International Banker article

Writing for International Banker, Richard Crecel, Executive Director at Global Credit Data, explains that while there are many uncertainties about the duration and impact of the pandemic, observers remain cautious in their recovery estimates. Taking into consideration the current macroeconomic forecasts, it is likely we are heading towards a downturn period.

In turn, banks worldwide posted record-high provisions to prepare for significant rises in the number of nonperforming loans in their portfolios, likely resulting in higher credit losses. They will also need to accommodate for this downturn in their risk models, factoring in the influence on default rates and loss given default (LGD) levels.

To read the full article, please click here. The article is also available in the Summer 2020 print edition of International Banker.