- 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.
Share with Peers (Asia Pacific): best practices to address Covid-19 Impacts
June 9, 2020 @ 8:30 am - 10:30 am UTC+1
Online GCD member roundtable: Upgrading of Risk Models, Reduction of Portfolio Risk Exposures and Refining the Pandemic Stress Testing Framework
Contact Daniela Thakkar to get access to login details and to questions shared in advance.
- Agenda:
A – COVID-19 lockdown: is re-opening driving markets now?
- Pandemic/macro-economic outlook – to date
- Initial and next government policy responses, supervisory guidance for prudential/accounting metrics (Reg Cap, ECL)
- Economic and financial transmission mechanisms
- Dislocation/Recovery for key sectors : Healthcare, Manufacturing, Supply Chain, Trade Finance, Transportation, Aviation, Oil, Retail Trade, Hospitality, Travel, Entertainment
B – KNOWLEDGE ROUNDTABLE:
1. Risk Measurement and Modelling Assumption in Crisis/Re-Opening Context
- Governmental support and defaulted obligors: postponed regulatory compliance?
- Upgrading of risk models, Re-examination of assumptions built in risk models
- Down-turn impacts on recovery processes
- Regulatory guidance to addressing procyclicality during this crisis
2. Banks’ actions on portfolio and balance sheet management
- Active portfolio and balance-sheet management: selling of underperforming assets
- Mobilization of collaterals with central banks
- Restructurings, Additional drawings
3. Refining the pandemic stress testing framework
- Pandemic scenario: incorporating epidemiology and infection spread assessments, anticipation of shutdown measures
- Quantify pandemic scenario’s impact on portfolio relevant economic/financial drivers
- Model conditional rating transition matrices to project impact of economic/financial drivers on banks’ portfolios or segments
- Quantify NPL from stressed risk profile
- Quantify DT Losses
Contact person:
daniela.thakkar@globalcreditdata.org
Location:
Zoom