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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

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

Nordic roundtable March 2017

In an open atmosphere and with a small group of practictioners from the modelling and validation departments, we discussed the various data collections run by GCD at the moment. Member banks used the possibility to share notes and thoughts on benchmarking with peers in the Nordic region. The agenda included: • the new GCD Benchmarking platform (where many Nordics have indicated to participate), • the usage of the GCD Rating and Defaults database for the Nordics region, • the GCD proposal to run a special IFRS 9 quantitative impact study and • other topics relevant for Nordic members. Contact person:Daniela Thakkar Location:Stockholm, Sweden Aganda:https://www.globalcreditdata.org/wp-content/uploads/2017/04/agenda_gcd_nordicsroundtable_20170331_v3.pdf

WG IFRS 9 #6/2017: Discussion IFRS 9 benchmarking study

WG meeting to discuss our proposal of an IFRS 9 quantitative benchmarking study. The idea originated from one of our member banks and can be performed by GCD provided we have enough member support. Contact person:Daniela Thakkar Location:Webex call

WG Val #5/2017 An IFRS 9 Validation Framework for Wholesale Models

Working Group presentation by ANZ Agenda Executive Summary Fitness for Purpose Model Performance Indicator (MPI) Model Performance of Core Model Data Quality & Population Stability Staging Assessment / SICR Conceptual Soundness & Model Design Assurance of Operational Integrity Appendix – BCBS Guidance on Model Validation – Principles 1 & 5 Contact person:Nina Brumma Location:Webex

WG IFRS 9 #7/2017: Validation framework for IFRS 9 models

Dear members of the WG , please find attached the material for our call on Thursday. Note: We have set the time according to the time zone of the speaker. For those we cannot join the meeting: we will record the meeting and send around the link afterwards. Please feel free to come back to me with any questions. Best regards Daniela ////////////////// WG IFRS 9: Validation framework for IFRS 9 models Thursday, May 4, 2017 10:00 am | Europe Summer Time (Berlin, GMT+02:00) | 1 hr Meeting number (access code): 950 607 253 Meeting password: iceberg When its time, start up your meeting:  https://pecdc.webex.com/pecdc/j.php?MTID=m8eee659196c1de705f4f2d54c2215dfe Join by phone +44-203-478-5289 Call-in toll number (UK) +1 631 267 4890 USA/Canada toll Global call-in numbers: ​ https://pecdc.webex.com/pecdc/globalcallin.php?serviceType=MC&ED=512421972&tollFree=0 Location:Webex call