On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation

Xin Zhang and Tony Tung

Journal of Risk Model Validation

Abstract: Since Basel II, the second of the Basel Accords, was first published in June 2004, banks around the world have been engaged in a continuous effort to develop methodologies to estimate the key parameters: probability of default (PD), loss given default (LGD) and exposure at default (EAD). In this paper, we focus on PD estimation and validation.; We provide the mathematical modeling for both point-in-time (PIT) and through-the-cycle (TTC) PD estimation, and discuss their relationship and application in our banking system.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-risk-model-validat ... stimation-validation (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ5:6446891

Access Statistics for this article

More articles in Journal of Risk Model Validation from Journal of Risk Model Validation
Bibliographic data for series maintained by Thomas Paine ().