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seen Mar 5 at 17:43

Nothing.


Jan
30
awarded  Supporter
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.
Oct
16
awarded  Teacher
Apr
5
answered Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
Apr
5
awarded  Student
Apr
5
asked Are there any well known methods of testing through-the-cycle rating systems?