Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework

Scott Aguais

MPRA Paper from University Library of Munich, Germany

Abstract: From 'The Basel Handbook' a description of a framework for calculating both "point-in-time" (PIT) and "through-the-cycle" (TTC) PDs, to enable banks to achieve Basel II compliance at an advanced level. The framework described here reflects broadly the one implemented globally in May 2005 at Barclays Capital.

JEL-codes: G32 (search for similar items in EconPapers)
Date: 2008-01-27
New Economics Papers: this item is included in nep-ban and nep-rmg
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/6902/1/MPRA_paper_6902.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/6939/1/MPRA_paper_6939.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/7004/1/MPRA_paper_7004.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:6902

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