Loss Given Default (LGD) Solutions
Rockboro’s LGD solutions range from pre-built “off the shelf” objective methodologies already designed to meet regulatory and internal requirements to best practice and efficient processes for designing be-spoke internal LGD assessment tools for clients that combine the benefits of fundamental analytics, expert judgement and pertinent available loss data,
Many clients will wish to preserve the strengths of their existing internal LGD assessment methodologies while at the same time aspiring to improve the overall precision and effectiveness of those methodologies. For such clients Rockboro brings a unique experience of methodology enhancement that best satisfies those twin aims.
Rockboro employs a unique blend of fundamental analysis, expert judgement and quantitative analysis to ensure the rigour and conceptual soundness of all its solutions.
Where statistically credible historical loss data exists, Rockboro focuses its efforts on the employment of quantitative techniques to train models from the analysis of past pertinent data. This process is complimented by the use of fundamental analysis and expert judgement to validate the conceptual soundness and “fitness for purpose” of the resulting models as well as for overcoming any natural deficiencies inherent in the training data.
In those sectors lacking such data, Rockboro focuses on the construction of models and tools through the application of fundamental credit analysis and expert judgement within an objective and and easily validated framework. The existing data is then employed to validate aspects of the conceptual soundness and performance of the resulting models.