LGD Calculator — Loss Given Default
Enter the exposure at default (EAD), the expected recovery rate, and optionally the probability of default to calculate LGD, the dollar loss if a borrower defaults, and the overall Expected Loss (EL).
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Percentage of the exposure that would be lost if the borrower defaults
- 1
LGD amount
1.000.000 × (100% − 40%) ÷ 100 = 600.000Dollar loss on the exposure if the borrower defaults with no recovery. - 2
Loss Given Default %
600.000 ÷ 1.000.000 × 100 = 60
Kako deluje ta kalkulator?
LGD = 1 − Recovery Rate; LGD Amount = EAD × LGD. If a borrower with a €1 M loan defaults and 40% is recovered, LGD = 60% and the loss is €600,000. Expected Loss = PD × LGD × EAD. Recovery rates vary by collateral type and are editable estimates — industry averages range from 20% (unsecured consumer) to 80% (secured real estate).
Formula
How this is calculated
Loss Given Default (LGD) measures what fraction of a loan a lender loses if the borrower defaults and cannot repay in full. It is the complement of the Recovery Rate: LGD = 1 − RR. A recovery rate of 40% (common for senior unsecured corporate loans, according to historical Moody's data) implies an LGD of 60%. Multiplying LGD by the Exposure at Default (EAD — the total outstanding balance at the time of default) gives the dollar amount the lender expects to lose on that single loan if default occurs.
LGD is one of the three inputs to the Expected Loss (EL) formula used under the Basel II/III credit-risk framework: EL = PD × LGD × EAD, where PD is the probability of default. Banks and rating agencies use this to set loan-loss reserves, price credit products, and allocate regulatory capital. The PD field in this calculator is optional; if you leave it blank the Expected Loss cells will show "—".
Recovery rates vary widely by loan type, collateral, seniority, and jurisdiction. Secured loans (e.g. mortgages with property collateral) typically see recovery rates of 60–80%, while unsecured consumer credit cards may recover only 10–20%. Enter an estimate appropriate for your loan type; the EU average across all corporate exposures (as of EBA data circa 2022) was roughly 40–45%. Adjust the figure to explore scenarios.
Pogosta vprašanja
LGD varies by collateral and seniority. Senior secured loans backed by real estate average around 20–40% LGD (60–80% recovery). Senior unsecured corporate bonds historically average around 55–60% LGD (40–45% recovery). Subordinated and unsecured consumer debt can reach 70–90% LGD. Banks are required to estimate LGD internally or use regulatory supervisory estimates under Basel III.
EAD (Exposure at Default) is how much money is owed when default occurs. PD (Probability of Default) is the likelihood the borrower will default. LGD (Loss Given Default) is the fraction of EAD that is lost when default does occur. Together they form the Expected Loss formula: EL = PD × LGD × EAD — the average dollar loss a lender expects over a portfolio of loans.
Under the Basel II/III Internal Ratings-Based (IRB) approach, banks estimate their own LGDs using historical data and use them as inputs to risk-weight calculations that determine minimum regulatory capital. Under the Standardised Approach, regulators prescribe fixed supervisory LGD values (e.g. 45% for unsecured senior debt). The EBA publishes benchmarks for comparison.
Znano tudi kot
TG we-Calculate Editorial Team. (2026). LGD Calculator — Loss Given Default [Online calculator]. TG we-Calculate. https://we-calculate.com/sl/calculator/lgd-calculator
TG we-Calculate Editorial Team. "LGD Calculator — Loss Given Default." TG we-Calculate. 2026. https://we-calculate.com/sl/calculator/lgd-calculator.
TG we-Calculate Editorial Team, "LGD Calculator — Loss Given Default," TG we-Calculate, 2026. [Online]. Available: https://we-calculate.com/sl/calculator/lgd-calculator
@misc{wecalculate_lgd_calculator, title = {LGD Calculator — Loss Given Default}, author = {{TG we-Calculate Editorial Team}}, howpublished = {\url{https://we-calculate.com/sl/calculator/lgd-calculator}}, year = {2026}, note = {TG we-Calculate} }
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