With an educational background in Financial Engineering, Brent Oeyen has worked as an advisor for various Risk Departments across Europe for different types of financial institutions. As a Credit Risk Quant he has expertise in:
- Development and validation of Pillar-I and II credit risk models;
- Development and validation of provision models under IAS 39 and IFRS 9; and
- Credit Risk analyses for regulatory exercises such as AQR and TRIM.
In addition, he has worked with the pricing of financial products and building financial evaluation models.
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.