Given the maturity of models for credit risk at many of our member banks, Global Credit Data has in recent years focussed more on studies, surveys and working group activities intended to allow members to benchmark their credit risk models and drivers.
On our own and in conjunction with financial industry bodies, Global Credit data conducts surveys and performs comparisons and analyses to help members better understand their own methods and estimates.
Members’ needs for discussion of best practice in data, modelling and risk measurement is well served by ad hoc working groups. Often the key benefit of these groups is the discussion and cross information about best practices, while some will also produce an output paper.
Recently completed working groups covered the topics of:
- Stresstesting and CCAR modelling (Framework, Processes, Modelling techniques)
- Modelling LGD for Commercial Real Estate
- Modelling LGD for Project Finance
- Modelling Downturn LGD
- Discount Rate in LGD modelling
- Segmentation of LGD models
- Trade & Commodity Finance
- Banks and Counterparties in Financial Markets
The following working groups are at the moment active within Global Credit Data. For some working groups non member participation is allowed. Please consult Global Credit Data using the contact form should you be interested.
| IFRS 9 / CECL impairment models |
| This working group enables knowledge exchange & discussions on modelling approaches for impairments based on (life-time) expected losses. The most recent activity was to initiate a benchmarking study where banks compared their ECL estimates, PDs and LGDs for various hypothetical borrowers under different scenarios |
| Chair: tbc Contact: Nate Royal, Executive |
| Validation |
| This working group enables knowledge exchange & discussions on validation techniques, processes and policies. |
| Chair: tbc Contact: Nina Brumma, Executive |
| LGD Reference Model |
| This working group supports the development of a LGD Reference Model. |
| Chair: Stephan Jortzik (ANZ), Michael Jacobs (PNC), Patrik Gunnarson (SEB)
Supported by: FCG Contact: Olivier Plaetevoet, Executive |
| Support for Compliance |
| This working group defines actions to support members in demonstrating the compliance of using GCD data with most recent regulations. |
| Chair: tbc Contact: Olivier Plaetevoet, Executive |
Members only: Login to access our FAQ’s on working groups and focus groups.
