Nature-risk PD/LGD/EAD bridge

bridge_pd_lgd_ead · v0.1.0-prior-dominated

Translates normalised nature-risk drivers into indicative credit-risk parameter uplifts using disclosed prior-dominated coefficients.

Inputs

• baseline water stress, annualised tree-cover loss, biodiversity screening and transition-risk indicators;
• operator-quality context, recovery horizon and tailings consequence class;
• facility EAD, tenor, baseline credit spread and sustainability-linked KPI structure;
• versioned coefficient set with confidence bounds.

Calculation

The method normalises ecological drivers against registered reference levels. Water, land, biodiversity, transition, operator and water–land interaction terms contribute to a non-negative PD uplift in basis points. Recovery horizon and tailings class contribute to LGD uplift. KPI step-down terms can adjust effective EAD. Expected loss is calculated from adjusted EAD, stressed PD and stressed LGD.

Outputs

• PD uplift in basis points;
• LGD uplift and adjusted EAD;
• expected loss and nature-related expected-loss uplift;
• component contributions, input snapshot, suggested KPIs and signed manifest.

Limitations

This version is explicitly prior dominated. It is an indicative translation layer for scenario and pricing discussion, not an empirically validated internal-ratings model or regulatory capital model. A lender must apply its own model governance, calibration, overrides and approval process. Missing inputs may use disclosed neutral defaults.