loss given default
as defined in Directive 2006/48/EC of the European Parliament and of the Council of 14 June…, 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;
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Also defined in
- CRR 32013R0575, Article 4(1), point (55)
the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default