A link between rating migration and calibration levels provides a new definition of the rating function’s degree of PIT-ness. The obtained closed-form solutions are flexible with respect to different ...

We show that they are more suitable for risk assessment than probabilities of default from other methods that rely on external rating categories. The correlations between the regulatory capital ...

Now, we will try to look at how rating agencies look at default risk in quantitative terms, based on probability of default and loss given default.

Fitch Ratings has announced a new proposal designed to provide greater transparency into the interplay between default risk and loss given default than heretofore has been available to the market: ...