Munich Personal RePEc Archive

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:

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_7004.pdf

Download (216Kb) | Preview

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. This article is published with the full knowledge and permission of Risk Books (www.riskbooks.com).

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.