loss given default
as defined in CRR, Article 4(1), point (55) (Definitions)
the ratio of the loss on an exposure related to a single facility due to the default of an obligor or, where applicable, of a credit facility to the amount outstanding at default or at a given reference date after the date of default, and, in the context of dilution risk, the loss given dilution meaning the ratio of the loss on an exposure related to a purchased receivable due to dilution, to the amount outstanding of the purchased receivable
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Also defined in
- Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and… 32006L0048, Article 4, point (27)
the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default;