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Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework

Aguais, Scott (2008): Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework. Published in:

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Abstract

From 'The Basel Handbook' a description of a framework for calculating both "point-in-time" (PIT) and "through-the-cycle" (TTC) PDs, to enable banks to achieve Basel II compliance at an advanced level. The framework described here reflects broadly the one implemented globally in May 2005 at Barclays Capital.

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