Loss given default
= Loss given default
{title2=$\mathrm{LGD}$}
= LGD
{c}
{synonym}
Loss given default is the loss conditional on a default, measured as an amount or as a fraction of exposure under the chosen convention. In an independent marked default model the loss amounts are independent marks attached to the events of a <Poisson process>. Their raw second moment, not just their variance, controls the aggregate <compound Poisson distribution> variance.