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

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Author Info
Aguais, Scott
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. This article is published with the full knowledge and permission of Risk Books (www.riskbooks.com).

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 6902.

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Date of creation: 27 Jan 2008
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Handle: RePEc:pra:mprapa:6902

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G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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