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Default Risk Modeler

Transparent obligor PD, facility LGD, EAD, and expected loss.

prefix: default:category: underwritingCredit
What it does

Assigns an explainable internal risk grade from financial and qualitative factors, maps it to editable synthetic-calibration PD assumptions, and combines facility structure and recovery with EAD and LGD.

Example prompts
  • "default: estimate PD, LGD and expected loss for a 5.0x unitranche"
  • "Re-rate the borrower after a 20% EBITDA downside and covenant breach"
  • "Compare obligor and facility risk for senior and second-lien tranches"
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Try Default Risk Modeler now.

BYOD — bring your own deal data and try the example prompt above against it.

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