Aguais, Scott (2008): Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework. Published in:
![Warning](/style/images/warning.png)
There is a more recent version of this item available.
Preview |
PDF
MPRA_paper_6902.pdf Download (222kB) | 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.
Item Type: | MPRA Paper |
---|---|
Original Title: | Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework |
Language: | English |
Subjects: | G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill |
Item ID: | 6902 |
Depositing User: | Scott Aguais |
Date Deposited: | 29 Jan 2008 00:59 |
Last Modified: | 26 Sep 2019 09:32 |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/6902 |
Available Versions of this Item
- Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework. (deposited 29 Jan 2008 00:59) [Currently Displayed]