Loss Given Default API Reference
This page documents the API for the Loss Given Default function in Pypulate.
Loss Given Default (LGD) estimation.
loss_given_default(collateral_value, loan_amount, recovery_rate=None, liquidation_costs=0.1, time_to_recovery=1.0)
Estimate the loss given default for a loan.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
collateral_value
|
float
|
Value of collateral |
required |
loan_amount
|
float
|
Outstanding loan amount |
required |
recovery_rate
|
float
|
Historical recovery rate for similar loans |
None
|
liquidation_costs
|
float
|
Costs associated with liquidating collateral |
0.1
|
time_to_recovery
|
float
|
Expected time to recovery in years |
1.0
|
Returns:
| Type | Description |
|---|---|
dict
|
LGD estimate and components |