Creating New LGD Model Definition

The LGD Model page enables you to create new definitions. Perform the following procedure to create a new LGD Model definition:
  1. Click the Add button, from the LGD Model pane.
    The LGD Model Definition window is displayed.
  2. Populated the fields as tabulated

    Table 21-1 The LGD Model Grid

    Field Description
    LGD Model Definition Pane
    Name Enter a name for the definition.
    Description Enter a description for the definition
    Product Code

    Select a value from the drop-down list.

    The data for this drop-down is provided by the location dimension.
    Region Select a region code from the available list of regions.
    Term Enter the number of terms. Select either Months, Quarters, or Years.
    Historic Term Enter a value and select a value from the drop-down list.
    Customer Type Select either Retail or Corporate.
    Economic Variable Use the Move and Move All buttons to select the variables from the Available Variables field to the Selected Variables Pane. Use the Remove and Remove All buttons to deselect a variable and move it from the SelectedVariables field to the AvailableVariables field.
    Feature Engineering Pane
    Predicted Term Enter a value and select a value from the drop-down list.
    Discount Rate Spread Enter a value in the percentage format. Decimal values are also supported in this field.
    Direct Expense for Recovery

    Select the slider to enable this feature. The following fields appear:

    • Number in Percentage - Enter a value in the percentage format.
    • Base – Select either Outstanding balance at default or Collateral value (As of date)
    • Spread –Select either At the end of the period or Spread evenly throughout the period.
    Data Manipulation to reduce noise in the data Select the Unstable Default Period and Minimum Period of recovery sliders to enable these features. When this feature is enabled a text box and a drop-down list appears. Enter a value and select a value from the drop-down list.
    To calculate assumption based LGD

    When this feature is enabled a text box and a drop-down list appears. Enter a value and select a value from the drop-down list. Additionally, the following fields appear:

    • Number in Percentage - Enter a value in the percentage format.
    • Base – Select either Outstanding balance at default or Collateral value (As of date)
    • Spread –Select either At the end of the period or Spread evenly throughout the period.
    Economic Variables - Tuning Select the required Economic Variable.
  3. Click Save.
    The saved definition is displayed in the LGD Model pane of the LGD Model page.