Publications using Global Credit Data Data

As Global Credit Data data has built up over time, so have the number of studies using Global Credit Data data. The publications have taken various forms:

  • Academic studies on the full Global Credit Data data set under special agreement
  • Academic studies by interns or staff at member banks, using that bank's view of the data set
  • Studies by Global Credit Data working groups, sometimes assisted by consultants

All of the studies have been brought together in a central reference point in Google Scholar under Global Credit Data's name (although Global Credit Data has not authored the papers).  Please use the following link:

GCD Google Scholar

Academic Studies

Global Credit Data allows selected academics access to the Global Credit Data database under special agreements where the area of research could be of interest to the financial community.  Interested qualified academics are encouraged to contact secretary@globalcreditdata.org for further discussions. The published studies are referred to in the Google Scholar link above.

 

Global Credit Data's own papers

Global Credit Data members work together to analyse the data and discuss methodology issues.  From time to time they also write short papers for the use of Global Credit Data members, with the assistance of consultants. The following external summaries of such papers are available using the following links:

Global Credit Data Shipping Finance LGD Study 2017

The shipping industry is the backbone of global trade. More than almost any other sector, it benefits from globalization and economic upturn. This also makes the industry vulnerable to economic downturns. GCD loss data confirms this general observation. This report based on the shipping finance loss data provided by member banks to the GCD LGD/EAD loss database gives insights regarding four major questions: Does the data tell the stroy of why selling the this is the option of last resort? What is the impact of collaterization on LGD? Can you link macroeconomic developments to the LGD curve over time? Is specialised lending actually riskier than corporate finance?

Download the Global Credit Data Shipping Finance LGD Study 2017 here

 

Global Credit Data Discount Rates for LGD calculation 2016

This study provides a theoretical and empirical analysis of five alternative discount rate concepts for computing LGDs using GCD Data. Appropriate discount rates are based on a combination of the risk free rate and risk premium for systematic risk at the time of default. Approaches may be separated into contract specific, comparable and equilibrium approaches. Advantages and shortcomings are discussed in the paper. The working group was chaired by Stephan Jortzik of ANZ and assisted by Harald Scheule, Associate Professor of Finance at the University of Technology, Sydney.

Download Global Credit Data Discount Rates for LGD calculation 2016 here

 

Global Credit Data Project Finance Study 2014

Global Credit Data members have been working together for some years to improve and increase data on project finance cases.  This study, based on 300 defaults as at June 2014, examines the different elements of project type, industry, location, etc. to see whether they are predictive of LGD outcome. There is also an interesting comparison between LGD rates observed for Project Finance loans vs unsecured Large Corporate loans. The working group was chaired by Nina Brumma of KfW and assisted by Orla Duffy.

Download Global Credit Data Project Finance Study 2014 summary here

 

Global Credit Data Downturn LGD Study 2013

Using a long time series of LGD cash flow data, this working group was able to test whether LGD rates for Large Corporates, SMEs and Banks varied in line with macroeconomic data or default rates. Their conclusion is that a better view of this relationship is given by examining the data at the time of recovery, based on cash flow, rather than using the traditional date of default.  The working group was chaired by Nina Brumma of KfW and assisted by Markus Seifert of d-fine.

Download Global Credit Data Downturn LGD Study 2013 here

 

Global Credit Data Default Rate Study 2013

Using both PD and default rate data collected from member banks in 2013, this paper examines cyclicality, averages, prediction vs outcome, accuracy rates and correlations. The working group was chaired by Michel van Beest of NIBC and assisted by Jeroen Batema of OSIS.

Download Global Credit Data Default Rate Study 2013 here