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How Is the Loss Given Default (LGD) Estimated in a Stress Scenario?

Calculated as the net loss after exhausting the member's margin and default fund contribution, considering liquidation costs under specific stress conditions.
Greeks.Live23.11.25

How Is the Loss Given Default (LGD) Estimated in a Stress Scenario?

LGD is estimated by calculating the net loss a CCP would incur after exhausting the defaulting member's margin and default fund contribution. It considers the potential loss on the portfolio during the liquidation period, including market impact and hedging costs, under the specific stress conditions.

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