network profile
| bio | website | |
|---|---|---|
| location | ||
| age | 31 | |
| visits | member for | 1 year, 3 months |
| seen | Feb 2 at 21:03 | |
| stats | profile views | 17 |
Nothing.
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Jan 30 |
awarded | Supporter |
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Jan 30 |
comment |
Are there any well known methods of testing through-the-cycle rating systems? Thanks - upvoted, but I personally do not see downturn LGD as a TTC measure. A TTC PD can go below the actual default rate in downturn conditions - in that case, capital goes down but your expected loss goes up assuming it is calculated using a PIT PD. In my experience, downturn LGD is always higher than realized LGD. I think the reasoning is that while PD is automatically 'stressed' using the regulatory capital formula, such is not the case with EAD or LGD - hence we use downturn estimates. |
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Oct 16 |
awarded | Teacher |
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Apr 5 |
answered | Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling? |
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Apr 5 |
awarded | Student |
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Apr 5 |
asked | Are there any well known methods of testing through-the-cycle rating systems? |
