This paper presents a backtesting framework for a probability of default (PD) model, assuming that the latter is calibrated to both point-in-time (PIT) and through-the-cycle (TTC) levels. We claim ...

The Basel Accords require financial institutions to regularly validate their loss given default (LGD) models. This is crucial so banks are not misestimating the minimum required capital to protect ...

The financial services industry delivers leading-edge quantitative trading and risk management strategies using state-of-the-art computational tools and techniques including mathematical and ...