In June 2016, The Journal of Risk Model Validation published a paper by Rubtsov and Petrov (2016) called “A point-in time–through-the-cycle approach to rating assignment and probability of default calibration”. This paper included a system of equations that were solved numerically. Following publication, Torsten Pyttlik and Roland Wolff proposed an analytical solution, which the authors believe adds substantial value to their original work. In the attached PDF the authors have written a short follow-up, presenting the details of that analytical solution.
Back to Top