Model for calculating Loss Given Default (LGD) for project finance transactions and access to LGD data pool.
EKF Denmark’s Export Credit Agency requests a methodology for estimating the expected recovery on project finance trans-actions as a supplement to existing risk rating scorecards. EKF intends to purchase an existing standard off the shelf LGD model rather than to develop a bespoke model. EKF is also looking for access to a data pool containing the widest possible LGD data at project transaction level.
EKF intends to use the LGD model and information from a potential active membership of an LGD data pool, as important inputs to the internal pricing model for new transactions, to the credit risk assessment and to the capital risk calculation of project finance transactions. Responsibility for the model will sit with the Credit and Rating Management Department.