Loan Default/Loss Model
Can anyone help me get started/push me in the right direction when it comes to building an excel model that requires the calculation of default/loss incurred on short-term to intermediate term loans?
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Try looking up LGD (loss given default) models. Not sure about modeling part.
Talking about loans, does anyone have a good template for Credit Rating Models?
Give this a shot: http://www.moodysanalytics.com/~/media/Insight/Quantitative-Research/De…
Good stuff, thanks a lot!
In my experience banks use LGD = 1- LTV*Reconvery Rate and then have a look up table for Recovery Rate based on collateral type. This differs from what is done on the PD side as there just really isn't readily available data to build a statistical model.
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