Extended Nace Level NGFS STS database

This database provides an extension of the NGFS database. It covers all NACE level 2 sectors + selected high/low carbon sectors at a finer level of granularity. It provides scenario-contingent valuation adjustment for equity and bonds with maturities up to 2050 (available maturities are 1, 2, 3, 4, 5, 10, 15, 20,and 25 years). It offers a comprehensive treatment of risk considering baseline yearly probability of default ranging between 0.5% and 10% (available pds are 0.5%, 1% , 2%, 5%, 10% ).
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