Abstract: LGD(Loss Given Default) is one of the main element in credit risk management. Under the framework of the structure credit risk model,we develop a LGD analytic expression,in which the corporate value drift rate is replaced by risk free rate. The distribution,the association with PD(Probability of Default) and the factors which influence LGD are investigated,including term of loan,corporate asset-liability ratio,risk free rate,and loan size. With Sichuan large size non-perform loans data,the results are empirically tested on aggregate level.

Key words: credit risk, loss given default