Through-the-cycle to Point-in-time Probabilities of Default Conversion: Inconsistencies in the Vasicek Approach
While regulators generate and advocate the use of through the cycle (TtC) probabilities of default (PDs) for regulatory capital calculations, accounting standards (such as IFRs9) require organisations to use point in time (PiT) PDs. TtC PDs are based on long-term average conditions and do not adequ...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2023-11-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/15079 |