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Through The Cycle (TTC) Updating

In: RISK ANALYTICS From Concept to Deployment

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  • EDWARD H K NG

Abstract

The use of periodic data like financial ratios to develop credit risk models is known as Point In Time (PIT) modeling. Theoretically, such models are good enough for predictions around the time of the data. They can be viewed as snapshots of financial health. Due to practical limitations, such models are used for a significant period, usually a year, before being recalibrated…

Suggested Citation

  • Edward H K Ng, 2021. "Through The Cycle (TTC) Updating," World Scientific Book Chapters, in: RISK ANALYTICS From Concept to Deployment, chapter 12, pages 161-168, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811239069_0012
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    More about this item

    Keywords

    Risk; Modeling; Basel II; Quantification; Data Management; Data Integration; Decision Support; Online Analytical Programming;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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