Input floor on the downturn LGD per pool

Applies the LGD input floor of the framework's parameter table, blended between the unsecured and the collateralized floor with the secured share of the exposure: $$\mathrm{floor} = \mathrm{floor}_U\,(1 - s) + \mathrm{floor}_S\,s,\qquad \mathrm{LGD}^{\mathrm{final}} = \max(\mathrm{LGD}^{DT}, \mathrm{floor})$$ A missing unsecured floor (residential mortgages, whose floor applies to the whole exposure) uses the collateral floor throughout; an asset class with no floor at all yields a floor of zero.

Usage

scr_lgd_floor(
  x,
  params = NULL,
  asset_class = NULL,
  secured_share = NULL,
  collateral = c("real_estate", "financial", "receivables", "other_physical")
)

Arguments

x

An scr_lgd() object.

params

An scr_irb_params() object; NULL uses the configured framework. Edits are detected and recorded in the ledger.

asset_class

Row of params$lgd_floor; NULL uses asset_class of the configuration.

secured_share

Secured share of the exposure in [0, 1]: one value or one per pool. NULL means unsecured.

collateral

Column of params$lgd_floor for the secured part: "real_estate", "financial", "receivables" or "other_physical".

Value

The scr_lgd object with floors (table per pool with lgd_dt, floor_unsecured, floor_secured, secured_share, floor, lgd_final, binding; asset_class, collateral, framework, params_modified, binding_share) and the pool columns floor and lgd_final updated.

See also

Other irb-lgd: scr_elbe(), scr_lgd(), scr_lgd_downturn(), scr_lgd_pools(), scr_lgd_validate(), scr_workout()

Examples

cfg <- scr_config(verbose = FALSE, nthread = 1, n_boot = 20)
wo <- scr_workout(scr_demo_lgd, scr_demo_lgd_cashflows, rates = scr_demo_rates, config = cfg)
m <- scr_lgd(wo, drivers = c("product", "ltv", "prior_dpd_max"), config = cfg)
m <- scr_lgd_floor(m, asset_class = "retail_other", secured_share = 0.4)
m$floors$table
#>     pool     n    lgd_dt floor_unsecured floor_secured secured_share floor
#>    <int> <int>     <num>           <num>         <num>         <num> <num>
#> 1:     1   188 0.4251785             0.3           0.1           0.4  0.22
#> 2:     2   165 0.5366786             0.3           0.1           0.4  0.22
#> 3:     3   107 0.6767146             0.3           0.1           0.4  0.22
#> 4:     4   160 0.7699414             0.3           0.1           0.4  0.22
#>    lgd_final binding
#>        <num>  <lgcl>
#> 1: 0.4251785   FALSE
#> 2: 0.5366786   FALSE
#> 3: 0.6767146   FALSE
#> 4: 0.7699414   FALSE