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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LGD Report Large Corporates 2019


  • This is the GCD annual Report on Loss Given Default (LGD) for Large Corporate, in which numerical evidence of recoveries and losses is presented. The data set covers Large Corporate (>€50m turnover) borrowers who are recorded as defaulted in bank loan books, using the Basel default definition.
  • GCD’s data pools support the key parameters of banks’ credit risk modelling (PD, LGD, EAD). This report covers LGD and represents a unique resource for all types of credit risk modelling: regulatory capital; pricing; stress testing; or expected loss provisioning models.
  • The GCD data is always growing, from new member banks, and more years of default included. As expected, the results are consistent over time, confirming data stability and reliability.
  • The results in this study offer an overall insight into the data on a global level and confirm the drivers, their direction and their levels shown in the 2018 report. The main findings are: − Seniority and collateral are confirmed as LGD drivers (26% senior unsecured vs 38% subordinated unsecured at obligor level. The total secured LGD is 22%). − LGD varies over time, indicating that there is a relationship between the economic conditions and recoveries. − Because GCD data comprises bank initiated not traded loans, the data set differs from most other studies. Hence the outcome can be compared to, but should not be expected to be the same as, studies which focus on publicly recorded bond defaults, single country data or liquidation only data.
  • The long term average LGD levels in this report can be compared to regulatory minima and standardised levels, allowing an industry wide discussion of prudent forward looking LGDs vs historical evidence. Note that the LGDs in this report are cash flow discounted observations of historical outcomes, not forward looking estimates.