The key to using pooled data is to create a “representative data set” or RDS which comprises a filtering of the data to ensure that it matches the portfolio of the bank which will be using it.
Member banks always receive a full data return of the aggregated data and are encouraged to create their own filters to produce a representative data set appropriate to their bank’s geographical presence, business types and practices. This enables banks to use the data for different types of benchmarking tailored to their needs.
For further information, please (login required)
- consult our Reference Dataset Guidelines, which provide
- guidance for LGD modelling in line with the latest regulatory guidances (e.g. from EBA and BCBS)
- an introduction in the Reference Dataset used for the LGD report Large Corporates 2019 and
- examples of RDS for LGD and CCF models created by member banks using GCD data
- download the code and the instructions to rebuild and create the Reference Data Set used in the LGD Large Corporate Report 2019
Please contact Nunzia Rainone in case of any further questions.