Description:
This Probability of Default (PD) report covers a reference data set of 92,000 large corporate exposures, provided by 27 banks.
At the pool level, the Through-The-Cycle Probability of Default (TTC PD) is stable over time with a value of around 0.2% on investment grades and 3% on speculative grades, overall at 1.94%. It is consistently above the observed Default Rate due to regulatory buffer requirements. The Default Rate increases align with crises for speculative ratings. For investment ratings, the default rate was particularly impacted by the Covid crisis.
The insights gained from these high-level analyses confirm the benefits of detailed and granular collection of data – critical for banks using data-driven credit risk modelling to understand and quantify PD
