In times of implementation of Basel II Approach and financial crisis, the importance of Loss Given Default (LGD), as a measure of expected losses by default of banks, companies, corporations, etc. will increase rapidly. The understanding of central statistical characteristics of LGD will help the Banks, Hedge Funds and other Lending Parties to forecast and measure the potential losses, if a company goes bankrupt. For its prediction should be created new accurate mathematical and risk management models and therefore the involving parties should have more empirical observations from the past and study the existing models in that area.