巴克莱银行培训课件：（综合风险评级、信用风险管理）An Integrated PIT TTC Risk Rating Loss Framework for Basel Credit Risk Management.pptVIP

An Integrated PIT/TTC Risk Rating Loss Framework for Basel Credit Risk Management Dr. Scott D. Aguais Director Global Head of Credit Risk Methodology scott.aguais@ Defining PIT/TTC Terminology -- PIT PDs Measure Real Risk – TTC PDs Do Not Merton Model Implies Linkage Between PD and LGD We Find that LGD Varies Statistically With Credit Cycles Calibration to Loss History Provides a Fix Short-Run Approach to PD/LGD Integration ISDA/PRMIA – March 2007 * ISDA/PRMIA March 13, 2007 London Overview Key Presentation Points Highlighted PIT vs. TTC Ratings – Background, Concepts Objectives Exis