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Loss Given Default Models

Estimate loss given default

Calculate the loss given default (LGD) using a Regression, Tobit, or Beta model. Calculate the estimated loss reserves using Expected Credit Loss (ECL) calculator.

Functions

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fitLGDModelCreate specified LGD model object type (Since R2021a)
fryeJacobsLGDCompute conditional loss given default (LGD) using Frye-Jacobs model (Since R2024b)
predictPredict loss given default (Since R2021a)
modelDiscriminationCompute AUROC and ROC data (Since R2021a)
modelDiscriminationPlotPlot ROC curve (Since R2021a)
modelCalibrationCompute R-square, RMSE, correlation, and sample mean error of predicted and observed LGDs (Since R2023a)
modelCalibrationPlotScatter plot of predicted and observed LGDs (Since R2023a)
portfolioECLCompute the lifetime ECL at individual or portfolio level (Since R2022a)

Objects

RegressionCreate Regression model object for loss given default (Since R2021a)
TobitCreate Tobit model object for loss given default (Since R2021a)
BetaCreate Beta model object for loss given default (Since R2022b)

Topics

Featured Examples