Algorithmics has been in partnership with PECDC since its inception as its appointed data agent, providing member banks with secure data delivery and analytical services. PECDC member banks contribute default data twice a year via a secure and confidential portal provided by Algorithmics. From this, PECDC has compiled a time series of historical loss and recovery data containing 40,000 individual facility default records from 26,000 counterparties. This represents the industryâs largest reference data set for Loss Given Default (LGD) and Exposure at Default (EAD). Access to the anonymised loss data provides PECDC members with unique opportunities to analyse the data and establish benchmarks across several key credit risk dimensions including industry, geography as well as 12 asset classes including SME, Large Corporate, Banks, Sovereigns, Public Services, Real Estate, Project Finance, Shipping, Aircraft, and Commodities.
PECDC is a non profit making association run on behalf of its members by a board of directors, whose Chairman is Jeroen Batema of Fortis. Jeroen commented on the importance of the Algorithmics-hosted data sharing initiative: âThe challenge for banks is the acquisition of clean, statistically significant credit data. This is an intensive process that can be too complex and expensive for banks to pursue independently. And further, the nature of credit risk is such that, to obtain significant volumes of relevant, representative data, the only real option is to pool data between banks.â
John Hunt, Secretary General of the PECDC, added: âThe value of good quality data collected from leading banks cannot be underestimated in terms of its potential impact on credit risk modelling and stress testing activities. In the aftermath of the credit crisis, this is an area of increasing interest to regulators around the world and I believe that PECDC is in a unique position to assist its members in their efforts to meet this challenge.â
Michael Zerbs, President and Chief Operating Officer at Algorithmics, said: âAlgorithmics is dedicated to promoting the highest possible standards in credit risk data and looks forward to its continued work with the PECDC in the role of data agent and risk analytics partner.â He added that âAlgorithmics will continue to grow and invest in our risk content business."