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. This article is published with the full knowledge and permission of Risk Publications.
| 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: | 6939 |
| Depositing User: | Scott Aguais |
| Date Deposited: | 01 Feb 2008 07:57 |
| Last Modified: | 26 Sep 2019 15:29 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/6939 |
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Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework. (deposited 29 Jan 2008 00:59)
- Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework. (deposited 01 Feb 2008 07:57) [Currently Displayed]
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