Since Basel II, the second of the Basel Accords, was first published in June 2004, banks around the world have been engaged in a continuous effort to develop methodologies to estimate the key ...
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 ...
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