COVID-19 PD & Rating Portal: Submissions Now Open

The global effort to limit the spread of COVID-19 has had a profound effect on the world economy. Banks’ understanding of the pandemic’s impact on PD and ratings is still developing.

With the economic impact of the COVID-19 pandemic continually and rapidly evolving, banks’ credit risk teams need to adjust their models in step. In order to do this, they need to have the most up-to-date and relevant data to hand.

To support the industry in understanding the impact of these events on PD and ratings, GCD is executing a special COVID-19 run of its PD and Rating Platform. 

Objective:

To give banks’ credit risk teams timely insight into the impact of the COVID-19 pandemic on PD and ratings in relation to their peers.

Downgrade Ratio and COVID-19 Crisis Scenarios

How to participate:

1. Contact Izelle Kirsten or Olivier Plaetevoet to register your interest
2. Submit unaggregated data, including asset class, country/geographic region, industry, rating category and PD for Q4 2019, Q1 2020, Q2 2020, Q3 2020 

What you get in return:

With this database, banks can enhance the backtesting, calibration and benchmarking of their internal PD models. In addition, member banks can directly compare their level of calibration and model accuracy with peers to gain further insights into the overall performance of their models.

Some use cases include:

• Benchmark your PD masterscale
• Benchmark your system’s discriminatory power
• Identify macro-economic dependencies in default and migration data: extract a “systemic factor” from rating migrations or default rates
• Benchmark your asset correlations and long term default rates
• Benchmark your stage allocation / SICR buckets (thresholds for “lifetime PD” movements) under IFRS 9 
• Reduce uncertainty add-ons for lack of data

If you are interested in learning more, contact Olivier Plaetevoet. 

Contact person:

Olivier Plaetevoet