When estimating Loss Given Default (LGD) parameters using a workout approach, i.e. discounting cash
ows over the workout period, the problem arises of how to take into account partial recoveries from incomplete work-
outs. The simplest approach would see LGD based on complete recovery proles only. Whilst simple, this approach may lead to data selection bias, which may be at the basis of regulatory guidance requiring the assessment of the relevance of incomplete workouts to LGD estimation. Despite its importance, few academic contributions have covered this topic.
We enhance this literature by developing a non-parametric estimator that  under certain distributional assumptions on the recovery proles - aggregates complete and incomplete workout data to produce unbiased and more ecient estimates of mean LGD than those obtained from the estimator based on resolved cases only. Our estimator is appropriate in LGD
estimation for wholesale portfolios, where the exposure-weighted LGD estimators available in the literature would not be applicable under Basel II regulatory guidance.