Analysis

Samples from Global Credit Data Databases

Global Credit Data collects raw historical data from its members and then distributes it back to them for use in their own analysis and modelling.  In addition, Global Credit Data provides overall summaries of the data to its members at the twice yearly General Meetings.  The following slides aim to illustrate the variety and depth of databases available to member banks.

The material comes from the two largest databases of Global Credit Data, being the LGD database and the ODF (observed default frequency) database as at June 2014.  ODF data includes defaults up to 31 December 2012 and LGD data includes defaults up to 31 March 2014 approximately.

 

WARNING and DISCLAIMER:

The figures shown are based on the raw data sets of Global Credit Data, without any screening or filtering.  Member banks are encouraged to create their own filters and screens to produce a representative data set appropriate to their bank’s geographical presence, business types and practices as a pre-requisite before any actual LGD analysis.  Therefore the data shown will not match with that used by the member banks.  As an example, the LGD data includes the volume of both resolved and unresolved loan cases which member banks may treat differently.

The information shown below is not meant to be used as a benchmark but to illustrate what member banks, after carefully filtering of the data, can use for their own needs (internal, regulatory, etc.). In particular, average LGDs or ODFs (as can be deduced from the PD graph) are not meant to suggest any standard level, but are more illustrative of the possibilities for Global Credit Data members.

LGD/EAD database

PD and Observed Default Frequency (ODF) database

Hypothetical Portfolio Exercise