Loss Given Impairment: Difference between revisions
From Open Risk Manual
Wiki admin (talk | contribs) No edit summary |
(No difference)
|
Latest revision as of 18:32, 7 November 2019
Definition
Loss Given Impairment (LGI) is an estimated measure of credit loss that has been used in the context of the Asset Quality Review[1]. It is different from Loss Given Default because it uses impairment (the accounting status) as the basis for estimates.
Formula
The measure can be related to the Cure Rate and the Loss Given Loss
References
- ↑ ECB, Asset Quality Review - Phase 2 Manual