Implied Probability Is the Only Forecast You Can Audit

Markets are full of predictions that cannot be checked until after the fact. Implied probability is different. It is already ...
Risk

The art of probability-of-default curve calibration

"PD curve calibration" refers to the transformation of a set of rating grade level probabilities of default (PDs) to another average PD level that is determined by a change of the underlying portfolio ...
Risk

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

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 ...