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Loss Given Default Calculator

Work out loss given default instantly with clear inputs, formula shown and shareable results.

About Loss Given Default Calculator

Loss given default is one minus the net recovery rate, where recoveries must be discounted back to the default date and reduced by legal and enforcement costs. Slow recoveries are worth much less than their nominal amount.

Formula

Loss given default

LGD = 1 - (PV of recoveries - recovery costs) / exposure at default

Worked example

With the default values below, Loss Given Default Calculator returns Loss Given Default of 57.3464%. Change any input above and every figure here is recalculated in your browser.

Inputs used

Exposure At Defaultminimum 0
20,000,000
Amount Recoveredminimum 0
11,000,000
Cost Of Recoveryminimum 0
900,000
Months To Recoveraccepts 1–120
24

Results

Loss Given Default
57.3464%
Net Recovery Rate
42.6536%
Present Value Of Recoveries
$9,430,727.02
Value Lost To Recovery Delay
$1,569,272.98

Step by step

  1. 1Values used
  2. 2Loss given default
  3. 3Loss Given Default= 57.3464
  4. 4Net Recovery Rate= 42.6536
  5. 5Present Value Of Recoveries= 9,430,727.02
  6. 6Value Lost To Recovery Delay= 1,569,272.98

Assumptions and limits

  • The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
  • In particular, this calculator does not take inflation, tax or compounding frequency into account.
  • Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
  • Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

Why discount recoveries?

Because money recovered after two years of litigation is worth materially less than immediate cash.

What drives loss given default most?

Collateral quality and enforceability. Secured lending against liquid collateral can recover almost everything.

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