Loss estimation

Procedures and tools for assessing default risks

Solid values and licensed procedures

Along with creditworthiness, the potential loss amount is another key parameter. As credit defaults usually only affect a part of the total amount owed, professional risk measurement takes into account both risk components: the probability of default (PD) and the loss given default (LGD).

RSU provides a powerful toolkit to assess both. Our procedures permit a statistically valid estimate, even in the context of IFRS 9 and the lifetime principle.

For the secured part of the amount owed, our loss given default (LGD) model uses a range of forecasting methods for the different collateral categories (real estate, securities, etc.). For the unsecured portion, we use statistical methods to estimate the recovery per customer segment (corporates, banks, etc.). Results are combined into a loss rate per customer or transaction.

Our credit conversion factor (CCF) model calculates the extent to which any open credit lines will have been used up by the assumed default date.


Like all our models, they are continuously validated and developed further.

Our unique data pool provides a solid basis for this, comprising extensive, high-quality data from our clients on real-life loss cases.

To collect loss data, clients use our proprietary, web-based application Loss Carrier System (LCS). Dedicated data analysis routines ensure high-quality data and convenient, efficient data collection and recording



More helpful tools from RSU:


Our rating systems support your integrated risk analysis, taking into account quantitative and qualitative data, potential warning signals, and external influences.

Risk Guard

Get daily updated warning signals for companies, industries, and countries. The system issues alerts whenever the algorithms detect any default risks – up to twelve months in advance.


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