PD Subcommittee #5/2017: Experiences Audit & Aggregation Process
Main focus: Audit & Aggregation Process Location:Webex call
- About GCD
- Data Pooling: PD & LGD
- Library: Research & Publications
- Utility: Analytics & Products
- Services: Benchmarking
GCD's Mission is to help banks understand and model credit risks. The comprehensive data pools are collected over a decade and distributed back to members for their own research and modelling.
GCD is a unique data consortium that owns banks internal data for both PD and LGD. GCD’s data pools support the key parameters of banks’ credit risk modelling: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD).
GCD’s library gives access to wide variety of publications on risk related topics. Global Credit Data members work together to analyse the data and discuss methodology issues. GCD has published numerous papers and is actively promoting academic research on the data collected.
Members not only benefit from exclusive rights and access to credit databases and analytics, but also from knowledge and research facilitation possible via the unique industry association.
Through a variety of forums such as workshops, webinars and surveys, GCD is an active industry participant facilitating the discussion in key strategic areas.
Global Credit Data collects raw data from its members and distributes it back to them for use in their own analysis and modelling. GCD supports its members by providing a flexible high-end tool on the data pool: the GCD Visual Analyzer. Member banks can create dynamic Reference Data Sets and generate instant views on the data.
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South African Member Meeting July 2017
We kindly invite our South African members to join our Regional Conference in Johannesburg. The purpose of the conference is to inform about the most recent developments within GCD to share knowledge on how member banks use our data to discuss relevant regional topics with respect to credit risk modelling to gather your input for future developments of our data model Interested non-members as well as Academics can join on invitation only. Contact person:Daniela Thakkar Location:Johannesburg (exact location to be decided) Aganda:https://www.globalcreditdata.org/wp-content/uploads/2017/05/agenda_southafricanconference_20170724.pdf
LGD Subcommittee #8/2017
LGD Subcommittee #8/2017 Contact person:Riette Dijkstra Location:Webex call
PD Subcommittee #6/2017: North American Segmentation
Main focus: North American Segmentation Location:Webex call
WG Val #6/2017: Assessing the accuracy of Default Probabilities per rating grade while taking into account sensitivity to time
Presentation by ING to the WG Location:Webex call
North American Conference New York September 2017
GCD's North American conference in 2017 was hosted by Credit Suisse. Please find attached the Agenda and the Material. Contact person:Hale Tatar Location:New York , USA Aganda:https://www.globalcreditdata.org/wp-content/uploads/2018/01/agenda_gcd_conference_2017_nyc.pdf
LGD Subcommittee #9/2017
LGD Subcommittee #3/2017 Contact person:Riette Dijkstra Location:Webex call
WG IFRS 9 #10/2017: Preparation BCBS TFP meeting
Dear all, I would like to invite to our next WG meeting on THURSDAY, OCTOBER 5th at 1500 CEST. The purpose of the meeting is to present and get your input on the slide deck which we will presented at a meeting of the BCBS Task Force Provisioning on October 10th, 2017. The BCBS TFP is currently working on policy options for the longer-term regulatory treatment of provisions under the Basel framework and is especially interested in “the variety of methodologies and calibration issues” being considered by banks. The BCBS TFP has heard about our working group through a webinar which we recently gave to US Banks starting up with their CECL implementation. They also got to know about our planned IFRS 9 benchmarking study. Note, GCD is not a lobbying organization (and we are not asked to lobby nor share data) but to present and educate the Task Force on the variety of methodologies which are out there when it comes to IFRS 9 impairment modelling. The results of our 2016 survey plus some high-level analytics will be part of that slide deck. We had asked the survey participants to use the survey results earlier and we have not received any negative answers to that. Hope to speak to you in the meeting. Best regards Daniela P.S. Reminder: The […]
BP Subcommittee #1/2017
BP Subcommittee #1/2017 Contact person:Hale Tatar Location:Webex call
WG Val #7/2017 Validation from a point of view of a second line of defence
Presentation of Société Générale in the Working Group Validation Location:Webex
BP Subcommittee #2/2017
BP Subcommittee #2/2017 Contact person:Hale Tatar Location:Webex call
WG IFRS 9 #11/2017: Summary BCBS TFP meeting
Dear WG IFRS 9 members, as communicated earlier, GCD has been invited by the Basel Committee’s Task Force on Expected Loss Provisioning to present on data and methods used in IFRS 9 / CECL provision modelling. The meeting took place on Tuesday, October 10th, 2017, with more than 25 regulators present worldwide (incl. Fed, OCC, OSFI, European Commission, EBA, PRA, Bafin, ..). Also all Big 4 accounting firms have been present as well as the IIF and various representatives from banks. Our presentation (attached for your reference) was very well received, being often cited for the remainder of the day and with regulators praising the industry for taking the initiative to explore data and methods themselves. Please find attached also my personal notes of that day. I also attach the material presented by Ernst & Young . In case you are interested in the material of the IIF on procyclicality please contact Hassan Haddou (hhaddou@iif.com). The meeting came at a time, where we are busy with our IFRS 9 Benchmarking study. The regulators stressed the importance of getting good insights in what drives the variability between the banks and appreciated the initiative of the banks. Just in case your bank is not joining yet (at the moment 25 banks have indicated their participation), please here a introduction in […]