Backtesting of a probability of default model in the point-in-time–through-the-cycle context Mark Rubtsov Need to know We claim PD model correctness is equivalent to unbiasedness; given unbiasedness, ...

Using a Merton model framework (consistent with Basel II formulas), we develop a methodology for point-in-time (PIT) and through-the-cycle (TTC) probability of default (PD) decomposition in credit ...