- About GCD
- Data Pooling: PD & LGD
- Library: Research & Publications
- Utility: Analytics & Products
- Services: Benchmarking
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.
- This event has passed.
COVID-19 PD & Rating Portal: Submissions Now Open
November 6, 2020 @ 2:45 pm - December 31, 2020 @ 12:00 am UTC+1
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 and anonymous data.
With this database, banks can enhance the backtesting, calibration and benchmarking of their internal PD models. In addition, member banks can directly compare their level of calibration and model accuracy with peers to gain further insights into the overall performance of their models.
Some use cases include:
- Benchmark your PD masterscale
- Benchmark your system’s discriminatory power
- Identify macro-economic dependencies in default and migration data: extract a “systemic factor” from rating migrations or default rates
- Benchmark your asset correlations and long term default rates
- Benchmark your stage allocation / SICR buckets (thresholds for “lifetime PD” movements) under IFRS 9
- Reduce uncertainty add-ons for lack of data
If you are interested in learning more, contact Olivier Plaetevoet.
Contact person: