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Measuring Pit-ness in a rating system: Test of 4 Pitness measure using GCD data

Document

Author: 
Daniela Thakkar (GCD)
Topics: 
PD modelling for regulatory capital
Description: 

This document has been prepared for the IIF working group on “Measuring Pit-ness in a rating system”. IIFhas provided us with 4 different pitness measures and we have calculated them on hypothetical cases, our GCD PD ODF datapool as well as on external S&P default rates. This slidedeck presents the results of those calculation. The results will be incorporated by the IIF in a whitepaper (together with further survey results and the summary of the discussions done by the IIF).

File Type: 
Whitepapers for members only
Publication Year: 
2017
Groups audience: 
- Private group -
Workflow status: 
Final
Group content visibility: 
Public - accessible to all site users
Short Description: 
This document has been prepared for the IIF working group on “Measuring Pit-ness in a rating system”.