Through The Cycle (TTC) Updating

Edward H K Ng

Chapter 12 in Risk Analytics:From Concept to Deployment, 2021, pp 161-168 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The use of periodic data like financial ratios to develop credit risk models is known as Point In Time (PIT) modeling. Theoretically, such models are good enough for predictions around the time of the data. They can be viewed as snapshots of financial health. Due to practical limitations, such models are used for a significant period, usually a year, before being recalibrated…

Keywords: Risk; Modeling; Basel II; Quantification; Data Management; Data Integration; Decision Support; Online Analytical Programming (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2021
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