Addendum to Rubtsov and Petrov (2016): “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibrationâ€

Torsten Pyttlik, Mark Rubtsov and Alexandre Petrov

Journal of Risk Model Validation

Abstract: In June 2016, The Journal of Risk Model Validation published a paper by Rubtsov and Petrov (2016) called “A point-in time–through-the-cycle approach to rating assignment and probability of default calibration†. This paper included a system of equations that were solved numerically. Following publication, Torsten Pyttlik and Roland Wolff;proposed an analytical solution, which the authors believe adds substantial;value to their;original work. In the attached PDF the authors have written a ;short follow-up, presenting the details of that analytical solution.

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