Comments on: Through the Cycle – PD Scalar http://riskopedia.wordpress.com/2007/03/16/through-the-cycle-pd-scalar-2/ Everyday risk blogs Mon, 13 Apr 2009 20:27:44 +0000 http://wordpress.com/ hourly 1 By: BHC http://riskopedia.wordpress.com/2007/03/16/through-the-cycle-pd-scalar-2/#comment-406 BHC Thu, 14 Feb 2008 08:53:37 +0000 http://riskopedia.wordpress.com/2007/03/16/through-the-cycle-pd-scalar-2/#comment-406 Now, I thot that Basel 2 is to ensure that the regulatory capital estimate is risk-sensitive. If the model is a TTC model, very likely the capital estimate would be flat over time also. Now, I thot that Basel 2 is to ensure that the regulatory capital estimate is risk-sensitive. If the model is a TTC model, very likely the capital estimate would be flat over time also.

]]> By: Paul Hodges http://riskopedia.wordpress.com/2007/03/16/through-the-cycle-pd-scalar-2/#comment-143 Paul Hodges Wed, 04 Jul 2007 09:03:22 +0000 http://riskopedia.wordpress.com/2007/03/16/through-the-cycle-pd-scalar-2/#comment-143 "Then, as long as there is a scorecard calibration from time-to-time, the PIT estimate should be a proxy of TTC estimate." Hi Isn't it the other way around? It would be a PIT estimate? “Then, as long as there is a scorecard calibration from time-to-time, the PIT estimate should be a proxy of TTC estimate.”

Hi
Isn’t it the other way around? It would be a PIT estimate?

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