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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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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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Unresolved Defaults

Posted
Updated
ByIzelle Kirsten

Topics: 

LGD & EaD platform

Description:

 In 2021, the Unresolved LGD projection methodology wasmonitored and backtested as of H2/2020 data, with oneyear of additional data compared to the initial developmentsample. The monitoring metrics are structured alongregulators’ dimensions such as EBA Regulatory TechnicalStandards 2016/03 and EBA Guidelines 2017/16 as wellas SR Letter 11-7 “Supervisory guidance on model riskmanagement

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