The Mission of Global Credit Data

A cross-border data-pooling initiative to help banks measure and actively manage credit risk.

By banks, for banks’

Global Credit Data has been created by its Member-banks to provide them with a collection of historical loss data, analysis and research resource, due to contribute to a better understanding of credit risk; Global Credit Data promotes the quality, the standardization and the transparency of data, thereby improving these banks’ ability to actively manage the credit risk of their portfolios.

Through its Methodology Committee and the active participation of its Member-banks, Global Credit Data provides an international forum for exploring the intricacies of credit risk management and sharing of best practice. The Association works on a ‘Give to Get’ basis: rather than “shareholders’ value”, the active participation of its Member-banks creates “membership value” for each one’s immediate benefit.

Background

Global Credit Data was formed in December 2004 as a credit risk data-pooling initiative primarily designed to assist Member-banks in enhancing their internal credit risk models, completing the Basel II preparations in pursuit of the International Ratings Based Advanced Status and improving their risk assessment for risk and credit portfolio management purposes.

Since then Global Credit Data has enjoyed remarkable success – both in terms of growing its membership and establishing its international reputation through the creation of the largest existing loss and recovery dataset for commercial loans. Its database currently contains over 110,000 individual facility default records from over 50,000 obligors across 120 different countries over a period from 1990 to date. The database is fed by Member-banks with all new defaults bi-annually on a ‘give to get’ basis. Currently, data is collected on the basis of 11 distinct Asset Classes (i.e. all except Retail), which mirror those defined in the Capital Requirements Directive that underpins Basel 2 AIRB capital requirements. The Member-banks are not required to join all Asset Classes and may opt out of those not relevant to their own specific business requirements.

Membership has grown from the original base of 13 to a current membership of over 50 Member-banks across Europe, Africa, Asia, Australia and North America. Indeed, this is also reflected in the geographic coverage of the Global Credit Data databases which, originally limited to Europe, have been extended to include global exposures. Global Credit Data strives to enlarge its membership across the world because it believes that a global standard for data collection is in the interest of the financial industry as a whole.

Global Credit Data and its Member-banks continuously work on further improving the quality of the data-base through comprehensive standards set by the Methodology Committee. Many Member-banks of Global Credit Data admit that the best internal data Member-banks have is the data they have delivered to Global Credit Data.

Data is pooled by the Member-banks in Global Credit Data on the basis of confidentiality, anonymity, flexibility, comparability & reciprocity. The Member-banks remain owner of their own data but give a perpetual license (right of use) to the Association. Once aggregated, the data becomes a distinct data-set, which is owned by the Association, i.e. the Member-banks jointly.

Legal structure

Global Credit Data is incorporated as a private, not-for-profit, Association domiciled in The Netherlands under Dutch Law. This structure ensures that the aim of the Association is focused on providing benefits to its members as a result of their active participation; this means creating membership value, rather than shareholder value.

The activities and services provided by Global Credit Data are defined in the Articles of Association.

The basis of the membership agreement is to adhere to the Articles of Association and to the internal rules of the Association, called Data Pool Regulations. Only corporate bodies – in practice registered banks – can be members.

If you want to read the Articles of Association, click here.

Board of Directors

Global Credit Data is governed by a Board, whose detailed responsibilities are defined in the Articles of Association. The members of the Board are individuals appointed by the Global Credit Data General Assembly among the delegates representing the Members.

The current members are:

Mr Theo van DRUNEN, Chairman (since June 2010)

Theo van DRUNEN has 18 years of experience in financial risk management methods, modelling and technology. As a consultant, he developed a range of Basel II services for Cap Gemini, Ernst & Young, and gained an extensive practical experience in quantitative model development and application for credit risk, market risk, interest rate risk, and financial instruments.
Mr van Drunen joined Fortis Bank NL (now ABN AMRO Bank N.V.) in 2003 where he was heading the Specialised Lending team for Credit Modelling. In 2007 he entered the Risk & Portfolio Management department in the Merchant Banking division and became responsible for credit portfolio reporting and risk distribution. In July 2010 he was appointed Head of Credit Portfolio Management for ABN AMRO in Central Risk Management.  Since February 2013 Mr van Drunen has been Head of ECT Portfolio Management in the Energy, Commodities & Transportation business.

Mr van Drunen holds a Masters degree in Quantitative Business Economics from Erasmus University in Rotterdam, The Netherlands. He lives in Sleeuwijk, The Netherlands.

 

Mr Michael EL HADJ, Deputy Chair (since June 2015)

Mr Michael El Hadj is the head of the Wholesale Credit Analytics & Solutions team at JP Morgan, a relatively new corporate risk function established in 2013. WCAS is a private side credit risk group responsible for the ownership and development of JPM's wholesale credit risk methodologies (ratings), processes (Non-performing asset identification) and capital calculations (Allowance, CCAR, EconCap, Basel capital parameter estimation, etc) on behalf of the wholesale bank.  Prior to starting WCAS, Mr El Hadj spent over a decade in CIB’s Credit Portfolio Group. Before that he was in JPM’s Private Bank.

Mr El Hadj has previously served on the Boards of the NY Chapter of the RMA and the IACPM and lives lives in Manhattan, New York.

 

Mr Simon ROSS-HANSEN (since December 2010)

Mr Simon ROSS-HANSEN is presently heading a credit model risk unit in Nordea. His career credentials include 11 years in Danske Bank heading the bank's risk control unit, different credit modelling units as well as portfolio management. Before joining Danske Bank he was a consultant both in- and outside the financial sector.

Mr Ross-Hansen holds a Master degree from the Danish Technical University, as well as a Bachelor in Finance from the Copenhagen Business School. He lives in Greater Copenhagen.

 

Mr Jean Gabriel Albigot (since June 2016)

Jean-Gabriel is in charge of the coordination of credit risk modeling throughout Société Générale. He started his career as a quantitative credit risk analyst in 1998, focusing on the development of regulatory and economic capital models. He then spent 6 years as a structurer in the reinsurance industry, and in the Corporate and Investment Banking arm of Société Générale to develop ALM, risk management and capital management solutions customized to the needs of large financial institutions. By the end of 2008 he was appointed head of the financial engineering team of the French Retail banking arm of Société Générale, managing the liquidity position of the entity and working on the optimization of the product range. In May 2013 he moved to SG Risk management division, within the Risk Modelling Function.

He also chairs the Risk Weighted Assets group of AFME’s prudential regulation division (Association for Financial Markets in Europe - http://afme.eu/Divisions/Prudential-Regulation/).

Jean-Gabriel holds an MBA from the French ESSEC Business School and is a fellow of the French Institute of Actuaries.

 

Ms Desta Medhin Huff (since June 2016)

Desta Medhin Huff heads the team at MUFG Union Bank (based in California) responsible for Allowance for Credit Losses (ACL) operations, products, technology and data management, related risk & control functions.

Desta has been with Union Bank since 1990 in various capacities including Commercial, SME and Corporate lending, Business Segment Management and Wholesale Credit Risk Modeling.  In addition to managing the development of the bank's wholesale PD, LGD and EAD models, she was responsible for building a state of the art parameter quantification data platform and infrastructure.  In her capacity as the bank's wholesale Credit Data Manager she also oversaw the overall AIRB infrastructure implementation.

 

Dr Massimo Cutaia, Treasurer (since June 2016)

Dr. Cutaia is since 2006 involved in various aspects of credit risk modelling for Credit Suisse located in Zurich. The first milestone was the contribution to the successful A-IRB Basel II go-live in 2008 via development and refinement of LGD and EAD models for the private banking division of Credit Suisse, covering various asset classes like retail and buy-to-let real estate, SME secured and unsecured lending, commodity trade finance, securities back lending(Lombard), credit cards, consumer/auto loans etc. Over time he was given the opportunity to cover additional topics and today also heads various teams responsible for Credit Suisse Group wide A-IRB model backtesting, credit default and loss data sourcing, integration of models in IT infrastructure and CECL/IFRS9 model development.

Dr. Cutaia holds a Diploma in Industrial Engineering and Management Science of the University Karlsruhe and a Ph.D. in Operations Research of the University St.Gallen.

 

Dr Stephan Jortzik (since June 2016)

Stephan Jortzik brings along more than 15 years of experience in capital markets research and the financial industry. He contributed extensively in developing advanced quantitative methods for identifying and measuring portfolio risks and building models for single name and portfolio risk estimates, both academically and applied practically, covering areas in credit and operational risk. He specialises in PD, LGD, EAD modelling, forecasting and stress testing.

Dr Jortzik is currently Head of Wholesale Credit Risk Modelling at the Australia and New Zealand Banking Group (ANZ), responsible for IRB wholesale credit models globally. Before joining ANZ, he held positions at Westpac and Fitch Ratings.Dr Jortzik graduated and holds a PhD in Economic Sciences from the University of Goettingen.

 

Dr Jeroen Kleijn (since June 2016)

Jeroen Kleijn has 10 years of experience in credit risk modelling, having joined Rabobank in 2006 as a credit risk modeller and in 2009 became team lead for all business banking related risk modelling activities for the domestic market. In 2014 he moved to Rabobank’s international division and joined the Modelling & Advisory - Credit team.

Dr Kleijn holds a PhD in Mechanical Engineering from the Eindhoven University of Technology and lives in Utrecht, The Netherlands.

 

Mr Sanjay Gupta (since December 2016)

Sanjay Gupta is Executive Vice President and Head of Model Development at PNC Bank. He is responsible for the development of most of the quantitative models for Basel II, CCAR, Acquisition Scorecards, Operational Risk and Economic Profit for Wholesale and Retail Assets for PNC.

He has a Masters in Finance from Carnegie Mellon University, an MBA from Indian Institute of Management, Calcutta and B Tech from Indian Institute of Technology, Delhi, India.

Executives

The decisions of the Board of Directors are carried out by the following persons:

Executive Director, Mr Philip Winckle

Methodology and Membership Executive, Ms Daniela Thakkar
Methodology and Membership Executive, Mr Robert Korako
Methodology and Membership Executive, Ms Nina Brumma

Operations Manager, Ms Riette Dijkstra
Operations Executive, Ms Christine Kersten
Operations Executive, Ms Hale Tatar

Mr Steve BENNETT is the contact representative for North American banks

Contact details refer here

 

Methodology Committee

Specific activities around the collection, analysis and use of data are controlled by a Methodology Committee, whose members are appointed by the Management Board. The detailed responsibilities of the Methodology Committee are further described in the Articles of Association and Data Pool Regulations. The Methodology Committee meets about 10 times a year.

Its responsibilities are:

  • Setting and reviewing definitions, in liaison with the Member-banks, and implementing them, with the Data Agent, into the database structure of Global Credit Data;
  • Designing and maintaining the suite of supporting documents (see below)
  • Supporting new initiatives by chairing working groups
  • Preparing the semi annual analytics meetings where best practice sharing takes place.

The current members of the Methodology Committee are:

Mr Stephan Jortzik, ANZ Bank Chairman (See Management Board above)

Mr Michel van BEEST, NIBC Bank

Mr Bastiaan BUBBERMAN, ABN AMRO

Mr Mark McGURN, RBS

Mr Eric Emtander, SEB

Mr Vedrin SAHOVIC, KfW

Ms Elizabeth Moleda, Royal Bank of Canada

Mr Stephane Gaux, NATIXIS

Mr Jeroen KLEIN, RABOBANK

Ms Caroline GAUTIER, JP Morgan

Mr Nkateko MAIMANE, Rand Merchant Bank

Mr Pubudu Premawardena, Bank of Nova Scotia

 

The Data Agent

Global Credit Data engages an independent Data Agent to assist in collecting and sorting the large quantities of data and the ongoing monitoring of data contributions. The data agent also ensures anonymity of contributions and undertakes standardized analyses and reports for the benefit of all Member-banks.

The Data Agent, for LGD and EAD parameters, is Capgemini working in collaboration with SAS, who supply the software platform and aggregation tools.