Risk

Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default

The paper argues for the need for and importance of the dual calibration of a probability of default (PD) model (ie, calibration to both point-in-time (PIT) and through-the-cycle (TTC) PD levels). It ...
Risk

A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration

In order to be compliant with the Basel regulations and the upcoming International Financial Reporting Standard 9, banks need two probabilities of default (PDs): point-in-time (PIT) and ...