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:

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).

• Item Type: MPRA Paper
• 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