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PD Report Large Corporates 2023
This Probability of Default (PD) report covers a reference data set of 85,000 large corporate exposures, provided by 28 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 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.