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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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Discount Rates for LGD modelling 2016

Posted
Updated
ByMichael Dhaenens

Description:

This study provides a theoretical and empirical analysis of five alternative discount rate concepts for computing LGDs using GCD Data. Appropriate discount rates are based on a combination of the risk free rate and risk premium for systematic risk at the time of default. Approaches may be separated into contract specific, comparable and equilibrium approaches. Advantages and shortcomings are discussed in the paper. The working group was chaired by Stephan Jortzik of ANZ and assisted by Harald Scheule, Associate Professor of Finance at the University of Technology, Sydney.

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