News

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Sep 1, 2014
UBS joins Global Credit Data

Yet another of the world's largest banks has now joined Global Credit Data, verifying the growing need for banks to pool their low default portfolio data.  UBS, based in Zurich in Switzerland, is one of the world's largest banks and certainly one of the best connected.

UBS is one of 12 Global Credit Data member banks who have been named as a Global Strategically Important Financial Institution (G-SIFI), given their importance in the global financial network.  Global Credit Data's member banks range from the world's largest global banks to regional players and single country specialist banks.


Aug 5, 2014
Project Finance summary publication

Global Credit Data members have been working together for some years to improve and increase data on project finance default cases.  The working group has produced as study, based on 300 defaults as at June 2014, which examines the different elements of project type, industry, location, etc. to see whether they are predictive of LGD outcome.  We have now published a summary of the findings for external use.  It also includes an interesting comparison between LGD rates observed for Project Finance loans vs unsecured Large Corporate loans. The working group has been chaired by Nina Brumma of KFW and assisted by Orla Duffy.

Please download the study here


Jul 8, 2014
Newsletter issued

The July 2014 issue of Global Credit Data's newsletter was issued, highlighting presentations and decisions from the recent Paris conference as well as news of research and working groups.

The newsletter is available to Global Credit Data members and to interested members of the financial community upon request.  Please email philip.winckle globalcreditdata.org


Jun 24, 2014
Global Credit Data General Meeting in Paris shows strong interest

The Paris conference held over 2 days from 23rd to 24th June 2014 proved attractive for members from all over the world.  Together with guests, the total attendance was over 70 persons.

Global Credit Data's connections with the rest of the financial community were a feature of this conference, with ICC Banking Commission members attending and presentations featuring cooperation with IACPM and IIF.

As usual the highlight of the meeting was the member presentations, where Global Credit Data member banks discussed their approaches to difficult areas in credit risk modelling and measurement.

Conference papers are only available to members


May 27, 2014
Global Credit Data welcomes Desjardins as new member

Global Credit Data is proud to welcome Desjardins Group of Canada as our newest member.  Desjardins is North America's largest cooperative financial services group and with over 45,000 employees, certainly not one of the smallest.  Steve Bennett, Global Credit Data's North American Exec Director, himself a native Canadian, is pleased to see another Canadian bank join our fast growing North American membership base.

Global Credit Data membership is composed of all types and sizes of banks, with the common thread being the desire to improve credit risk measurement by pooling credit default data and practices.


Apr 30, 2014
Global Credit Data welcomes PNC as member

After our successful North American conferenc in March, it is no surprise that some of the best names in US banking are now joining Global Credit Data.  PNC, known for its retail, middle market and wealth management businesses, has become our 8th North American member and will add it data not only to the global data pools, but also give critical mass to a US only view of the data.

Watch out for more North American banks joining in coming months.  Please contact steve.bennett globalcreditdata.org if you would like to know more about Global Credit Data in North America.


Mar 24, 2014
Global Credit Data's first North American Conference is a roaring success

On Monday and Tuesday 17 and 18 March, Global Credit Data held its inaugural North American Conference, kindly hosted by Citibank at their offices on Lexington Avenue in New York.  Aside from current North American members, a number of European and even Australian banks sent representatives.  In addition, representatives from 11 North American non-member banks took the time to find out what they were missing.

Participants received a full briefing on the latest Global Credit Data database as well as participating in discussions about latest LGD best practice.  Topics of special interest to the US included using Global Credit Data data in CCAR stress testing and CRE data collection.

This is just the start of our meetings in the US, where our growing membership base will allow us to hold these more regularly.

Philip Winckle


Mar 3, 2014
Global Credit Data issues study paper on Downturn LGD
Global Credit Data today issues its second ever generally available publication in its 10 year history.   After collecting detailed cash flows on defaulted loans from over 40 banks covering more than 10 years, Global Credit Data has finally been able to provide some answers to the questions around evidence of a macroeconomic downturn effect in loan recoveries and LGD.  The use of LGD calibrated to downturn is a requirement of the Basel rules for banks' regulatory capital and banks all over the world have been modelling their loss given default with this in mind for a number of years.
The paper shows how Global Credit Data members in a working group, with support from external consultants d-fine, were able to  link recovery cash flow rates to the economic conditions at the time the cash flow was received and link quick cure rates to the economic conditions at default date. The analysis was performed for the asset classes large corporates, SMEs and banks and in each case showed similar results.
Chairman of Global Credit Data's working group on downturn LGD, Nina Brumma of KFW, points out that the link to macroeconomic downturn has been unclear in many previous studies as the LGD has been tied to the date of default. She points out that only when time stamped cash flows are used, as available in Global Credit Data's detailed data set, then the relationship of LGD to downturn makes sense both statistically and economically. Global Credit Data member banks receive a detailed report as well as the full cash flow data to enable them to perform their own analyses.
Please make any enquiries to philip.winckle globalcreditdata.org

Feb 19, 2014
Global Credit Data releases default and PD study

For the first time in its nearly 10 year history, Global Credit Data has now released a study on the data collected by its many member banks.  The study looks at forward looking PD rates and backward looking observed default frequencies over a 10 year period from 2003 to 2012.  This study is unique in bringing together bank loan data, as opposed to rated company data or bond data.  It will be of great interest to any bank wishing to compare its own default and PD rates.

The study is available free of charge through the following link:

download Global Credit Data Default Rate Study 2013

This report shows selected highlights of summary data from the study, which Global Credit Data performs annually.  Global Credit Data member banks receive a detailed database enabling them to use the data for benchmarking of their own models and portfolios.

Enquiries about the study or about Global Credit Data membership should be directed to secretary globalcreditdata.org

 


Jan 29, 2014
Global Credit Data seeks Operations Executive

Due to Global Credit Data's continuing expansion, the members in General Meeting in December 2013 decided to approve the creation of a new executive position, entitled, Operations Executive.  This person will work with the data submitted by member banks to help with quality and analytics and of course support the various committees exploring interesting topics.

Like all Global Credit Data roles, the position is by contract with a company and the work will be performed from a home office.  Good credit and database skills as well as communication are required and of course a knowledge of Global Credit Data and its data structure would be of advantage.  The job description can be found in this link.  Please send your enquiry or application to secretary globalcreditdata.org


Dec 23, 2013
Zurich General Meeting the largest yet

Global Credit Data held its latest General Meeting of Members on the 16th and 17th of December in Zurich, hosted by Credit Suisse.  With the growth in member numbers to 40, it was not surprising that this was the best attended General Meeting ever, with over 60 people attending the 2 days of presentations and workshops.

Research papers from working groups on Project Finance and Downturn LGD were well received and as usual members really appreciated the member presentations on how they collect and use Global Credit Data data in their own regulatory capital modelling, benchmarking and validation.

The next meeting was announced to be 23 and 24 June 2014 to be hosted in Paris by Natixis, members only of course!


Dec 16, 2013
J.P. Morgan becomes Global Credit Data's 40th member bank

At the semi-annual General Meeting of Global Credit Data held at Credit Suisse in Zurich today, J.P. Morgan was unveiled as Global Credit Data's 40th member bank.  Global Credit Data Chairman Richard Crecel expressed his delight that J.P. Morgan, as one of the pioneers of LGD, will take part in data sharing and method development.

Steve Bennett, responsible for Global Credit Data in North America, pointed to both Citibank and J.P. Morgan joining in 2013 as evidence of the rapidly growing interest in data sharing in North America and explained that he was in discussion with other large peer banks and regional banks in both the US and Canada.

Philip Winckle, Global Credit Data's Executive Director, noted that the rapid growth in North American membership and data underlines Global Credit Data's global spread of data, including the major banks from South Africa and Australia as well as the large founding membership from Europe.  Existing member banks benefit from this geographical broadening of the database as well as receiving more data for hard to get "low default" portfolios.


Oct 31, 2013
M&T Bank joins Global Credit Data

The US Regional M&T Bank has now become the latest Global Credit Data member and joins the growing list of North American small, medium and large banks who have come on board.  M&T Bank has a long and proud history and is still based in its city of origin, Buffalo New York, from where it runs a large number of retail and commercial branches along the eastern seaboard.

Global Credit Data welcomes M&T Bank!


Oct 21, 2013
Expected Loss and Impact of Risk Webinar

Wolfgang Reitgruber, Global Credit Data member has prepared a webinar covering the above topic, which is based on the webinar he ran for Global Credit Data members and friends in North America in early October.

Global Credit Data is now happy to distribute to any interested parties, the document, which is an introduction into the concept, covering the main ideas, examples and key benefits. It takes overall 1h20min, but it is indexed page by page, so you can effectively move throught the whole webinar. Any feedback is highly welcome!

The detailed description of the method was published in the Journal of Risk Model Validation 7(3), Fall 2013.

For a link to the webinar please contact secretary globalcreditdata.org and quote "EL Webinar" in the subject line.

The webinar explores the concept of Expected Loss by examining various ways in which it can be used by banks to describe the losses that are likely to arise from a portfolio of credit assets. Dr. Reitgruber suggests a consistent framework of measurement that combines both risk and accounting concepts of EL over a standard time horizon and suggests a method for backtesting EL estimates. Participants will find this work useful for capital planning, loan pricing and stress testing.


Introduction
Impact of Risk (IoR) and the EL Backtest
Sample Application of the PL Backtest
Discussion of Key Drivers and Potential Benefits

Aug 30, 2013
Interesting results in LGD Method Survey

Global Credit Data today returned to contributors the detailed results of a 28 bank survey, covering the methods banks use for LGD in their Large Corporate portfolio.

While the detailed results are only available to participants, we can reveal that there was a high degree of variation in methods of data extraction, modelling and use, which should explain a lot of the variation in LGD which regulators are currently reviewing.  Even amongst contributors who answered that they were using the pooled Global Credit Data data the degree of variation was sufficient to ensure significant LGD variation, despite benchmarking from the same data set.

We will definitely re-run the survey at a later date, so if you represent an IRB bank and you are interested, just email philip.winckle globalcreditdata.org


Jun 28, 2013
Global Credit Data General Meeting in Copenhagen has highest attendance ever

Every half year Global Credit Data members gather to review the latest LGD and PD data sets as well as share best practices and set the agenda for the association in the coming half year.

The latest meeting in Copenhagen, hosted by Nykredit, proved Global Credit Data's largest to date, with over 60 attendants for the 2 day event held on 27 and 28 June.

Highlights included:

  • increased size of the LGD database to over 60,000 defaulted loans with more North American coverage than ever
  • breakthroughs in analysing Global Credit Data's LGD database for downturn effects
  • variation in RWA seen from the very powerful hypothetical portfolio study
  • guest address from the renowned LGD expert Michael Jacobs
  • first results from the LGD methods comparison survey, showing large variation in discount rates used.

Papers from the meeting are available to Global Credit Data member banks only but some highlights will be published


May 28, 2013
Webinar on using Global Credit Data data for stress testing 30 May 2013

Global Credit Data member banks and other interested people from the banking community will join the webinar on Thursday 30 May to discuss how pooled default and loss data can be used in stress testing.

Philip Winckle, Global Credit Data's Executive Director has long experience with stress testing in Europe and has been using Global Credit Data data as a source of both downturn default rates and corresponding stress LGD levels for a number of years.  This is a high demand field in both Europe and the US, so it will be interesting to see if the the methods developed in europe have relevance in a North American context, especially for the CCAR work.

If you are interested to attend then please send an email to Steve Bennett, Global Credit Data's Executive Director for North America on steve.bennett globalcreditdata.org


Apr 17, 2013
Global Credit Data welcomes Citibank as new member

Citibank needs no introduction as one of the world's largest financial enterprises and we are proud that they have chosen to add their weight of data and experience to our association.  This brings the number of members to 38 and increases the influence of North American banks in the consortium.

Steve Bennett, Global Credit Data's Executive Director for North America says that Citibank's membership should remind us that even the largest banks need to join forces on data when it comes to low default portfolios and regions and he hopes that this will encourage other North American banks to come on board.


Apr 8, 2013
Global Credit Data appoints Operations Manager

Due to the increasing number of member banks and the need to ensure that their data operations are handled correctly Global Credit Data has appointed Mr Sven Krenz as the Operations Manager, from April 2013.  Sven is well known to Global Credit Data member and has an excellent knowledge of the Global Credit Data LGD database due to his long history with Algorithmics where he looked after the Global Credit Data account.

Member banks will benefit from Sven's history and expertise as he will perform a liaison role with the data agent Capgemini as well as helping new member banks to get their data onboard.


Mar 18, 2013
First Hypothetical Portfolio Exercise successfully completed

With the high level of interest surrounding comparability of risk weighted asset estimates, there has been great demand for banks to understand just how their internal PD, LGD and EAD estimates stack up against their peers around the world.  The BIS and the EBA have both recently conducted a hypothetical portfolio survey amongst banks, calling for PD and LGD estimates for a range of large corporations, banks and sovereigns.

Global Credit Data members were keen to see how their data compared and therefore the same hypothetical portfolio was used for our own data gathering.  Detailed returns have been given to member banks allowing them to compare their estimates with those from other banks throughout the world.  Global Credit Data member banks can now make their own internal reports to management on the RWA differences debate and be ready to engage with their regulators.

Given the interest in this exercise by top management in the banks it is highly likely that we will repeat it and maybe extend to cover EAD.  Linking it to our popular Default Frequency (ODF) study is also likely.  These simple studies alone could be enough to pay the small price of Global Credit Data membership.


Mar 4, 2013
Webinar on using Global Credit Data data for modelling Large Corporate LGDs

North American banks had the opportunity last Thusday to tune into a webinar entitled "Global Credit Data Large Corporate LGD Modeling Choices and Model Estimation" given by Westpac Bank's Stephan Jortzik.

Steve Bennett, Global Credit Data's North American representative, organised the webinar which aimed to show banks how deeply they could dig into Global Credit Data's Large Corporate default database totalling around 10,000 defaults over 10 years.  There were plenty of questions from an interested and knowledgable audience.  Thanks to Stephan for a great presentation.

Steve is ready to make the recording available to qualified, interested banks.  Just email him at steve.bennett@globalcreditdata.org


Feb 5, 2013
Global Credit Data welcomes two new member banks

We are delighted to announce that two regional giants have recently joined Global Credit Data, from opposite corners of the plane.

Unicredit Bank Austria is a major banking force not only at home in Austria but also in Central and Eastern Europe.  Bank Austria is our first member with a home base in Austria but will not be our last...

Commonwealth Bank of Australia is one of the big four universal banks in Australia and also has presence in the Asia Pacific region.

Global Credit Data now has membership from the major banks in the Nordic area, South Africa, France, UK, Holland and Australia and is growing in all other markets, including the rest of Europe, USA and Canada.


Jan 28, 2013
Global Credit Data seeks Operations Manager
Due to expansion and retirement Global Credit Data is now seeking a full time Operations Manager.  See note and link to job description on this page.  Global Credit Data needs a specific skill set which is likely to come from the community of people already interested in credit data pooling, so please let your contacts know about this opportunity.

Dec 14, 2012
Global Credit Data London Conference

The biannual General Meeting and conference of Global Credit Data was held in London on 10th and 11th December at the offices of member bank Investec.  Aside from the important administrative issues agreed, there were some hot presentations on topics of current interest to banks and credit people.  In particular, there were ground-breaking presentations on use of Global Credit Data data to build multivariate regression models, estimate CCF and determine downturn LGD.  Even the difficult topic of use of discount rate in RWA model building was explored.

If you would like a copy of the latest Global Credit Data newsletter then please contact secretary@globalcreditdata.org


Nov 7, 2012
Global Credit Data's Steve Bennett to speak at Risk USA 2012

On Tuesday November 13, Steve Bennett will speak at the Risk USA conference in New York on the topic or "Risk-weighted asset (RWA) divergence related to loss given default and exposure at default".

Recently we have seen a lot of media comment from regulators, banks and analysts concerning the level of RWAs held by banks and whether these result from consistent measurement.  Steve will examine the differences in LGD and EAD resulting from:

  • bank behaviour
  • lack of data
  • parameter choices
  • model choices
  • differing regulatory regimes

The conclusions put forward by Steve point to the under-played role of collecting real data and proving that the risk estimates made by banks are reasonable.  Without spoiling the presentation we can reveal his final quote:

"The industry needs to centralise its PD adn LGD estimates on pooled data before the regulators do it for us"

Note that while Steve is speaking as the North American Executive Director of Global Credit Data, the views he states are his own.

Steve will be happy to discuss his presentation and distribute extracts after the conference.  Please contact him at steve.bennett@globalcreditdata.org


Oct 23, 2012
Global Credit Data speaks at Dataworld Asia

Global Credit Data was invited to speak at the inaugural Dataworld Conference in Singapore last week.  Organised by Asian Banker magazine, Dataworld explored the uses and future of data in the banking and insurance industries.

Global Credit Data's Executive Director, Philip Winckle, delivered two presentations.  The first, on the topic of "Data Sharing" discussed how the finance community had been sharing credit data for many years and why it was essential that this be expanded without hurting competition.  Philip's second presentation focussed on Basel III and the additional data requirements this entailed.  The panel discussion around this topic concluded that Basel III was putting pressure on banks' returns and costs and that improved credit decision making from improved data and models was more important than ever.

Copies of the presentations will be available on request by email to philip.winckle@globalcreditdata.org


Oct 1, 2012
Global Credit Data appoints Executive Director
From 1st October Philip Winckle takes on the role of Executive Director, strengthening Global Credit Data's internal resources devoted to global credit data sharing.  Philip will be responsible for a broad range of activities, including both existing member support and new member contact.  Philip is well known to Global Credit Data as a former board Chairman and former Head of Methcom, having been the Head of Group Risk Control at SEB in Sweden.  Philip comments that he looks forward to working more closely with the data collection and modelling staff at member banks and involving himself in contacting potential new member banks.  Philip will gradually take over the work of Martial de Bienassis who is in transition to a very well earned retirement after being the founding executive of Global Credit Data.

Sep 14, 2012
Welcome to RBC, Global Credit Data's 35th member bank

Global Credit Data is proud to announce that it has now grown to 35 members, now that the Royal Bank of Canada has joined.  RBC is the largest Canadian bank by market cap and the 11th largest in the world.  RBC joins fellow Canadian National Bank of Canada and US banks Capital One and Union Bank as the first four North American member banks.

Steve Bennett, Global Credit Data's North American executive says that as a native Canadian he is proud to see two leading Canadian banks taking on the Global Credit Data challenge and notes that he is in detailed discussions with many more North American banks.

Richard Crecel, Global Credit Data's chairman and Head of the risk modelling function with Société Générale, comments that while he is sure that any single bank can get benefit from Global Credit Data's global coverage of the low default asset classes, the reaching of a critical mass in North America will deepen the granularity of data and increase the benefits further.  Richard further noted that at the last General Meeting Sylvain Leith from National Bank of Canada was voted onto the board, giving North American banks a direct representation in Global Credit Data's decisions.


Aug 9, 2012
Strong interest in PD and ODF study at North American Bank webinar

As part of the series of regular telephone and web presentation meetings for North American member banks and prospective members, Steve Bennett of Global Credit Data introduced the topic of Global Credit Data's PD and ODF (observed default frequency) study. A large audience of US and Canadian banks were on the phone and in front of their computer screens to see the lead-in by Philip Winckle (Global Credit Data's incoming Executive Director) who made the point that the attacks by regulators and investors on banks' own risk estimates needs to be countered with quality research data.

Jeroen Batema of OSIS, who has carried out the latest ODF and PD data gathering exercise amongst Global Credit Data member banks, made a strong presentation of the depth and breadth of the data gathered since 2000. He showed how the data point to fair and even conservative levels of PD estimation by European banks on large corporate portfolios when compared to the observed default levels (ODFs).

A video recording of the presentation will be available to interested prospective banks by contacting Steve Bennett at steve.bennett@globalcreditdata.org

 

 


Jul 14, 2012
Global Credit Data now 34 banks strong!

New Chairman of the Board Mr Richard Crecel proudly announced that with the application received from SR-Bank of Norway, Global Credit Data has now reached 34 banks.  He noted that most new banks joing Global Credit Data based on strong recommendations of their peer banks, who have demonstrated good modelling and benchmarking results from using the data.

In addition Global Credit Data's efforts to introduce banks in North America and Canada to the benefits of global credit data pooling are meeting success, with good attendance at meetings and 3 North American Banks already signed up.

Mr Crecel noted that the number of member banks shown on the banner of the Global Credit Data website would also need to be changed from the old 28 to the new 34!