… A methodology for point-in-time–through-the-cycle probability of default decomposition in …
A point-in-time–through-the-cycle approach to rating assignment and probability of default …

… Carlehed M and Petrov A, A methodology for point-in-time–through-the-cycle probability of
default decomposition in risk classification systems, Journal of Risk Model Validation Volume …

… grades are identified as a cause, this may evidence problems in the underlying rating
assignment procedure. Corrective measures are required before the model can be put into use. …

… our method”. C&P suggest that our approach is restricted to using an external “rating system…
However, we assign a negative multiplier and a positive PT-ness in this case because the …

… when the default rate is lower than average default rate and the … based on default rates
provided by the rating agencies … This is a challenging task since there is no fixed definition of the …

… represents the rating grade assigned to exposure i at time t. If the transition probabilities
are … (2012), A methodology for point-in-time throughthe-cycle probability of default …

… to rating assignment, the Basel Committee’s spec ifications regarding the calibration of default
probabilities … Specifically, both required that a rating class’ PD should preferably be based …

… a reduced-form approach, in which they explain the ratings of S&P … in the rating assignment.
In addition, the authors simulate the … for point-in-time-through-the-cycle probability of default …

… A methodology for point-in-time–through-the-cycle probability of default decomposition in risk
… A point-in-time–through-the-cycle approach to rating assignment and probability of default …

… the weight of pure default compensation part in spread of investment grade (IG) sample, we
… ) A point-in-time–through-the-cycle approach to rating assignment and probability of default …