The Mission of PECDC
A cross-border data-pooling initiative to help measure and actively manage credit risk.
‘By the banks, for the banks’
PECDC 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; PECDC 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, PECDC 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
PECDC 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 PECDC 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 almost 40,000 individual facility default records from 26,000 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 8 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 28 Member-banks across Europe, Africa, Asia, Australia and North America. Indeed, this is also reflected in the geographic coverage of the PECDC databases which, originally limited to Europe, have been extended to include global exposures. PECDC 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.
PECDC 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 PECDC admit that the best internal data Member-banks have is the data they have delivered to PECDC.
Data is pooled by the Member-banks in PECDC 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
PECDC 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 PECDC 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.
Management Board
PECDC is governed by a Management Board, whose detailed responsibilities are defined in the Articles of Association. The members of the Management Board are individuals appointed by the PECDC General Assembly among the delegates representing the Member-banks.
The current members are:
Mr Philip WINCKLE, Chairman (elected in December 2010)
Philip WINCKLE has worked in banking for 30 years, after completing a bachelor degree in finance at Macquarie University in Sydney, Australia. He has worked mainly in credits and risk in Australia, Asia and Europe. Career highlights include workout roles in the Australian property disaster in the early 1990s and the Asian financial crisis of 1997-2000 and setting up of the Group Risk Control Department for SEB in 2007.
Philip has worked at SEB in Stockholm since 2003 and today heads the Group Credit Risk Control and Quantification department at , with teams covering credit and operational risk control and modelling in all of SEB’s operations in the Nordic, Baltic and German markets. Part of this role involves hand-on development of credit risk models for internal use and for Basel II compliance.
One of the founders of PECDC, he lives in Stockholm with his wife and 2 children.
Mr Theo van DRUNEN, Treasurer (elected in June 2010)
Theo van DRUNEN has 15 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.
Theo 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 Theo was appointed Head of Credit Portfolio Management for ABN AMRO.
Theo holds a Masters degree in Quantitative Business Economics from Erasmus University in Rotterdam, The Netherlands. He lives in Sleeuwijk, The Netherlands, is married to Monique with whom he has three sons.
Richard CRECEL has been active for 16 years in risk management, both on retail and non retail sides. He began its career as scoring engineer, then evolved as Head for modelling and risk management teams in the sector of consumer finance, in France, Italy and Turkey during 5 years. He then became freelance consultant in this domain for a number of reference companies of the banking industry during 7 years, before joining the Risk Division of SOCIETE GENERALE as Head for Credit Risk and Rating Models within the Global Risk Measurement department.
Richard is Statistician Actuary from UPMC University (Paris - France), lives in Paris with his lovely wife and their 2 daughters.
Mr Andreas HÖCK, (elected in June 2010)
Andreas HÖCK is Head of Risk Methods, Instruments and Process Management of
KfW Bankengruppe. In this role he is responsible for the group wide credit and market risk modelling as well as the risk policies. Andreas has worked at KfW since 2001: Prior to his current assignment he worked in the Risk Control Department and the Business Policy Department in various positions. Andreas holds a PhD in Theoretical Physics and worked as a Consultant before joining KfW.
Mr Simon ROSS-HANSEN, (elected in December 2010)
With a background in consulting from both in- and outside the financial sector, Simon ROSS-HANSEN joined DANSKE BANK in 2006. His career credentials include the integration of merged banks into Danske's risk management methodology, heading the bank's Risk Control unit and Decision Models unit.
He holds a Master degree in Planning & Methodology Management from the Danish Technical University, as well as a Bachelor in Finance from the Copenhagen Business School.
Also a Reserve officer in the Royal Danish Airforce, he lives in Greater Copenhagen.
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 has up to 9 members, coming from as many Member-banks. It 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 PECDC;
- 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 Richard CRECEL, SOCIETE GENERALE, Chairman (See Management Committee above)
Mr Lars AAGAARD, DANSKE BANK
Mr Michel van BEEST, NIBC Bank
Mr Henry EDWARDS, STANDARD BANK OF SA
Ms Christine KERSTEN, ABN AMRO
Mr Mark McGURN, RBS
Ms Lidia PIXELL, SEB
Mr Craig PRIOR, BARCLAYS
Working group leaders are associate members of the MethCom:
Ms Orla DUFFY, ANZ, is leading the working group on Project Finance.
Mr Bertrand DUCROT, consultant, is leading the WGs in Trade Finance and Real Estate Recovery.
The Secretary of the Committees is Mr Martial de BIENASSIS, Executive Director at PECDC.
The Data Agent
PECDC engages an independent Data Agent to assist in establishing common definitions and methodologies, collecting and sorting 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 ALGORITHMICS (FITCH Group), whose contract has been renewed in 2009 and will end in June 2012. See www.algorithmics.com