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Through the Cycle – PD Scalar March 16, 2007

Posted by riskopedia in Basel II, Economy, PD, Regulator, Retail Risk, Risk Management, scorecard.
6 comments

For Basel modellers, a common problem is a relatively short period of data. In most firms, they might not even able to get up to 5 years worth of data. Hence, the PD models would normally reflecting a Point in time (PIT) estimate or a Short run cycle (SRC) estimate.

Now, its nothing wrong having a PIT estimate. It is really up to the Bank’s senior management to decide if they want:

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