Loss Given Impairment

From Open Risk Manual


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


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

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


  1. ECB, Asset Quality Review - Phase 2 Manual

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