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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.

 

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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).

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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.

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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.

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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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Today

Methcom meeting #1/2017

Methcom meeting #1/2017 Contact person:Riette Dijkstra Location:Webex call

WG IFRS 9 #1/2017: Extracting adequate PD term structures from GCD migration data

Dr. Markus Seiffert, Philipp Gerold and Anne Kleppe from d-fine zoom into the challenges of extracting PD term structures from rating migration data. Some background: The datapool members gave d-fine access to the rating migration data GCD is pooling. The presentation summarizes the results and the methodology. Additional analytics and a whitepaper / article will follow in the upcoming weeks.   Contact person:Daniela Thakkar Location:Webex call

WG IFRS 9 #2/2017: Applying forward-looking scenarios to historical data

This WG meeting was set up to allow an open discussion on how to deal with calculating a historical “forward-looking, point-in-time PD”. The material serves as basis and is intended to initiate the knowledge exchange between the organizations on that topic.   Contact person:Daniela Thakkar Location:Webex call

WG IFRS 9 #3/2017: Roadmap 2017

This WG meeting is set up to discuss the proposed key activities in the working group in 2017.  a) a “quantitative study” to support the calibration process (H1/2017) and  b) a “methodogolical survey” on validation and calibration methods (H2/2017), together with the working "Validation"   Contact person:Daniela Thakkar Location:Webex call

WG IFRS 9 #4/2017: ECL for reverse repo / stock borrowing and derivative collateral assets

WG meeting with the following agenda:  a. Treatment of reverse repos / stock borrowing transactions: What is the lifetime of these transactions, what are methods applied to calculate ECL b. Cash collateral assets (mainly initial margin balances for derivatives) – do banks calculate ECL on this, what methods are applied, what is the lifetime of these positions? Contact person:Daniela Thakkar Location:Webex call

WG IFRS 9 #5/2017: Scenario-Design issues for IFRS 9 and CECL

Scott Aguais / Larry Forest / Gaurav Chawla from AAA present: - Scenario design choices - Pro’s and Cons of different approaches - Industry feedback on scenario design - Some quantitative feedback on different scenario building approaches (“Variance Compression Bias”) - Validation of scenarios received from economic departments - How to incorporate economic cycles, mean reversion and starting assumptions Contact person:Daniela Thakkar Location:Webex call