On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
In this paper, the authors focus on PD estimation and validation. They provide the mathematical modeling for both point-in-time (PIT) and through-the-cycle (TTC) PD estimation, and discuss their relationship and application in our banking system.
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Excluding some metrics makes A-IRB retail portfolio risk model more stable
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Combinations of models produce better NPL estimates in study of Greek crisis
Sponsored by Oracle, Moody's Analytics and AxiomSL
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
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.
In this paper, the authors show how one can use a certain class of models for modeling portfolios such as large corporates, banks and insurance companies.
The authors of this paper contend that recent evidence indicates that benchmarks have, over the last eleven years, exaggerated default risk for nonfinancial corporate entities.
Some have argued that the antidote for pro-cyclicality in the Basel II capital requirements is the use of 'through-the-cycle' estimates of default and recovery rates. David Rowe argues that, whilethis might mitigate the pro-cyclical impact of the Accord,…