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Design, specification, development and testing of an analysis tool based on SAS-technology for data-analysis and quality assurance of LGD-calculation.


Project Summary

LGD-calculation for CRE following the guidelines of the VdP (Verband deutscher Pfandbriefbanken) considering the international portfolio.


Tasks Nagler & Company

  • Technical and functional documentation of VdP’s LGD-method
  • Enhancement of a LGD-prototype in VBA and validation of the LGD-model
  • Implementation and testing of VdP’s LGD-model in SAS
  • Backtesting, time series-analysis and delta-analysis of the expected loss (EL)



By implementing a highly automated solution, the effectiveness of the CRE-validation using the VdP-approach could be increased significantly.A close contact with all business departments and the external data provider, prompt status reports and short reconcilement-cycles allowed an agile, benefit-oriented development approach.

see illustration (de)



  • Review of all existing processes and interfaces to design the analysis-tool
  • Detailed technical and functional documentation of the new models
  • Implementation of the SAS-tool to automate the time series-analysis and change-analysis of the new LGD-values
  • Implementation of custom and automated reports for different management levels


Client Benefit

The old LGD-models have been replaced providing a full audit-conform historization and increased usability and accuracy.
Using SAS-routines statistical-analyses are ad-hoc executable.