PD Report Large Corporates 2023

Description:

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.