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Addendum to Rubtsov and Petrov (2016): “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibrationâ€

Author

Listed:
  • Torsten Pyttlik
  • Mark Rubtsov
  • Alexandre Petrov

Abstract

In June 2016, The Journal of Risk Model Validation published a paper by Rubtsov and Petrov (2016) called “A point-in time–through-the-cycle approach to rating assignment and probability of default calibration†. This paper included a system of equations that were solved numerically. Following publication, Torsten Pyttlik and Roland Wolff;proposed an analytical solution, which the authors believe adds substantial;value to their;original work. In the attached PDF the authors have written a ;short follow-up, presenting the details of that analytical solution.

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Handle: RePEc:rsk:journ5:3914671
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File URL: https://www.risk.net/system/files/digital_asset/2017-02/Addendum_to_Rubtsov_and_Petrov_%282016%29_final.pdf
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