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Homeen-gbCalibration of rating grades to point-in-time and through-the-cycle levels of probability of defaultThe 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.)
https://www.risk.net/journal-of-risk-model-validation/7902111/calibration-of-rating-grades-to-point-in-time-and-through-the-cycle-levels-of-probability-of-default
https://www.risk.net/journal-of-risk-model-validation/7902111/calibration-of-rating-grades-to-point-in-time-and-through-the-cycle-levels-of-probability-of-default
Fri, 26 Nov 2021 17:31:26 +0000 Backtesting of a probability of default model in the point-in-time–through-the-cycle contextThis 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.
https://www.risk.net/journal-of-risk-model-validation/7890646/backtesting-of-a-probability-of-default-model-in-the-point-in-time-through-the-cycle-context
https://www.risk.net/journal-of-risk-model-validation/7890646/backtesting-of-a-probability-of-default-model-in-the-point-in-time-through-the-cycle-context
Wed, 27 Oct 2021 10:43:18 +0100 Addendum to Rubtsov and Petrov (2016): “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration”
https://www.risk.net/journal-of-risk-model-validation/3914671/addendum-to-rubtsov-and-petrov-2016-a-point-in-time-through-the-cycle-approach-to-rating-assignment-and-probability-of-default-calibration
https://www.risk.net/journal-of-risk-model-validation/3914671/addendum-to-rubtsov-and-petrov-2016-a-point-in-time-through-the-cycle-approach-to-rating-assignment-and-probability-of-default-calibration
Wed, 15 Feb 2017 12:53:32 +0000 A point-in-time–through-the-cycle approach to rating assignment and probability of default calibrationThis paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness.
https://www.risk.net/journal-of-risk-model-validation/technical-paper/2460734/a-point-in-time-through-the-cycle-approach-to-rating-assignment-and-probability-of-default-calibration
https://www.risk.net/journal-of-risk-model-validation/technical-paper/2460734/a-point-in-time-through-the-cycle-approach-to-rating-assignment-and-probability-of-default-calibration
Fri, 10 Jun 2016 12:25:00 +0100