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GCD's Mission is to help banks understand and model credit risks. The comprehensive data pools are collected over a decade and distributed back to members for their own research and modelling.

 

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GCD is a unique data consortium that owns banks internal data for both PD and LGD. GCD’s data pools support the key parameters of banks’ credit risk modelling: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD).

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GCD’s library gives access to wide variety of publications on risk related topics. Global Credit Data members work together to analyse the data and discuss methodology issues. GCD has published numerous papers and is actively promoting academic research on the data collected.

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Members not only benefit from exclusive rights and access to credit databases and analytics, but also from knowledge and research facilitation possible via the unique industry association.

Through a variety of forums such as workshops, webinars and surveys, GCD is an active industry participant facilitating the discussion in key strategic areas.

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Global Credit Data collects raw data from its members and distributes it back to them for use in their own analysis and modelling. GCD supports its members by providing a flexible high-end tool on the data pool: the GCD Visual Analyzer. Member banks can create dynamic Reference Data Sets and generate instant views on the data.

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PD & Rating Platform: Documentation

Currently the following the documents are available to support member banks in their data submission efforts: 

Document Description
Data input structure This document provides the structure of the tables that should be used to create the input data files, including all field names, validation rules and lookup tables. ​
Documentation and FAQ A comprehensive guidance document explaining

  • the overall process,
  • the data fields, including further definition of the asset classes / segmentations
  • the give-to-get and critical mass rules
  • the methodology on the default rates and migration matrices 
  • a detailed description of all fields in the data return
  • the most important FAQ to this data pool

 

 

 

 

Desktop tools (for the H1/2020 submission)

In case the member does not submit in unaggregated format, the desktop tool here below must be processed over the data (if possible, please execute unaggregated submissions so that GCD executives can faster help you during the submission): 

Document Description
MS Access Desktop tool Desktop tool to generate average PDs, default rates and migration matrices based on the banks input data
SAS Desktop tool Desktop tool to generate average PDs, default rates and migration matrices based on the banks input data
Instructions SAS Desktop tool Instructions to run the SAS desktop tool
Testcases Set of testcases (in order to run the MS Access and SAS desktop tool).
Also serves as template for the data input 
Release Notes Contains an overview of all historical changes in the desktop tool