Location:Web

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: Contact Izelle Kirsten or Olivier Plaetevoet to register your interest 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: At a time where uncertainty abounds, this earlier-than-usual run offers participants timely information on the economic impact of the pandemic. This provides critical insights for banks' credit risk teams, enabling them to adjust their models based on confidential, high-quality, granular […]

Contact person:Olivier Plaetevoet

  Launch of New Working Group.     The Covid-19 pandemic is heavily impacting banks' PD and ratings systems. GCD would like to launch a working group to investigate the interaction between masterscale and PD model output. This working group will focus on the most efficient, agreed and available methodologies used to calibrate PD and rating systems, and the best practices to be shared among practitioners in the banking industry.     The information session is open to all member banks and will be presented by Mike Jacobs, PhD Register here