Purpose This paper provides an objective approach based on available market information
capable of reducing subjectivity, inherently present in the process of expected loss …

The International Financial Reporting Standards (IFRS) 9 accounting standard gives rise to
impairments that are sensitive to the economic cycle. Rules around stage migration and the …

For low-and no-default portfolios, financial institutions are confronted with the problem to
estimate default probabilities for credit ratings for which no default was observed. The …

Credit ratings are expert systems which assess the likelihood of a borrower to default. The
Basel Accord allows banks to base regulatory capital requirements on the default probability …

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) …

In this study, we consider the construction of through-the-cycle (“TTC”) PD models designed
for credit underwriting uses and point-in-time (“PIT”) PD models suitable for early warning …

In this study we consider the construction of through-the-cycle (“TTC”) probability-of-default
(“PD”) models designed for credit underwriting uses and point-in-time (“PIT”) PD models …

Rating transition matrixes are commonly used for computing expected credit losses under
International Financial Reporting Standard 9 (IFRS 9) and for stress testing under the …

We develop a model for credit rating migration that accounts for the impact of economic state
fluctuations on default probabilities. The joint process for the economic state and the rating is …

This paper considers a definition of through-the-cycle (TTC) as independent from an
economic state that can result in a time-varying TTC probability of default (PD). A top-down …