Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default

The paper argues for the need for and importance of the dual calibration of a probability of default (PD) model (ie, calibration to both point-in-time and

Related Keywords

,Point In Time ,Hrough The Cycle ,Robability Of Default Pd ,Model Calibration ,Maximum Likelihood Estimation ,Ating Migration ,Original Research ,