Mark Rubtsov is director of validation services at Credit Analytics Benelux. Previously, he was a chief model risk analyst at Nordea Bank Abp, Oslo, and before that, a senior advisor in the IRB unit at the Norwegian Financial Supervisory Authority. He is a co-author of a number of academic publications in mathematics and finance. Mark holds a PhD in financial mathematics from the University of Oslo, and an MSc Finance degree from Ulm University. His research interests include probability of default model development and validation.
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 and through-the-cycle PD levels.)
This paper presents a backtesting framework for a probability of default model, assuming that the latter is calibrated to both point-in-time and through-the-cycle levels.
A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration
This paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness.