Credit rating agencies
The three main global rating agencies maintain extensive historic databases with default rates on bonds going back over many years that banks can use as proxies for likelihood of loan defaults. This data is proprietary but is available to subscribers who pay for their services. These are most useful for ratings of large companies in developed markets, and in the US and UK in particular.
Few companies in developing markets fall within the scope of coverage of the global agencies although there has been some progress in establishing local agencies. Inevitably, however, even where such agencies now exist their default data only covers the recent past and is therefore of limited use.