精品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.pptxVIP

An Integrated PIT/TTC Risk Rating Loss Framework for Basel Credit Risk Management;Overview; (1) Historical analysis of systematic credit risk factors (Zs) provides reasonable empirical evidence of recurring cycles – mean reversion momentum are statistically observable (2) The existence of credit cycles makes PIT/TTC distinctions meaningful in assessing PDs – a fully integrated PIT/TTC approach: Consistently supports multiple credit risk objectives – is required for Basel II Improves on current legacy credit models that assume random walks for systematic factors Consistently converts various