How to measure the degree of PIT-ness in a credit rating system for a low default portfolio?
In order to be compliant with the Basel regulations, banks need to compute two probabilities of default (PDs): point-in-time (PIT) and through-the-cycle (TTC). The aim is to explain fluctuations in the rating system, which are expected to be affected by systematic and idiosyncratic factors. Being ab...
| Main Authors: | , |
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| Format: | Others |
| Language: | Swedish |
| Published: |
KTH, Matematisk statistik
2020
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273632 |