Loss Given Impairment

From Open Risk Manual

Definition

Loss Given Impairment (LGI) is an estimated measure of credit loss. It has been used in the context of the Asset Quality Review[1].

Formula

The measure is defined in terms of the Cure Rate and the Loss Given Loss


\mbox{LGI} = (1- \mbox{CR}) \mbox{LGL}

References

  1. ECB, Asset Quality Review - Phase 2 Manual

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