Credit risk measures are often described as being either point-in-time (PIT), through-the-
cycle (TTC) or a hybrid thereof. Nevertheless, it is generally accepted that there is no …

Credit risk models are often described as being either point-in-time (PIT), through the-cycle
(TTC) or a hybrid thereof. Nevertheless, it is generally accepted that there is no consensus …

Credit risk models are validated to check that they produce unbiased,“high-quality”
estimates of credit risk. Credit risk models follow different rating philosophies, ranging from …

EconPapers: The Foundations of Credit Risk Analysis EconPapers Economics at your
fingertips EconPapers Home About EconPapers Working Papers Journal Articles Books …

In this paper I try to give answers to some of the questions and problems that arise in relation
to point in time (PIT) and through the cycle (TTC) rating philosophies. One of the most …

While regulators generate and advocate the use of through the cycle (TtC) probabilities of
default (PDs) for regulatory capital calculations, accounting standards (such as IFRs9) …

The strong autocorrelation between economic cycles demands that we analyze credit
portfolio risk in a multiperiod setup. We embed a standard one-factor model in such a setup …

One of the main information sources for firms' credit quality and financial health is credit
ratings assigned by credit rating agencies. The big three rating agencies, Moody's, Standard …

David Jamieson Bolder Theoretical Foundations, Diagnostic Tools, Practical Examples, and
Numerical Recipes in Python Page 1 David Jamieson Bolder Credit-Risk Modelling …

The two philosophies of ratings, one that includes cyclical effects and the other that doesn't,
are mirrored by the two different rating types commonly known as point‐in‐time (pit) and …