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• W3124365811 startingPage "1450010" @default.
• W3124365811 abstract "As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined sectors and ratings that are consistent with the bank's Basel PDs. Constructing a TPM is not a unique process. We highlight various aspects of three types of uncertainties embedded in different construction methods: (1) the available historical data and the bank's rating philosophy; (2) the merger of one-year Basel PD and the chosen Moody's TPMs; and (3) deriving a monthly or quarterly TPM when the generator matrix does not exist. Given the fact that TPMs and specifically their PDs are the most important parameters in IRC, it is our view that banks may need to make discretionary choices regarding their methodology, with uncertainties well understood and managed." @default.
• W3124365811 created "2021-02-01" @default.
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• W3124365811 date "2014-03-01" @default.
• W3124365811 modified "2023-09-24" @default.
• W3124365811 title "Transition probability matrix methodology for incremental risk charge" @default.
• W3124365811 cites W1558377461 @default.
• W3124365811 cites W1972594402 @default.
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• W3124365811 doi "https://doi.org/10.1142/s234576861450010x" @default.
• W3124365811 hasPublicationYear "2014" @default.
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