Search for answers or browse our knowledge base.
Measuring Pit-ness in a rating system: Test of 4 Pitness measure using GCD data
This document has been prepared for the IIF working group on “Measuring Pit-ness in a rating system”. IIFhas provided us with 4 different pitness measures and we have calculated them on hypothetical cases, our GCD PD ODF datapool as well as on external S&P default rates. This slidedeck presents the results of those calculation. The results will be incorporated by the IIF in a whitepaper (together with further survey results and the summary of the discussions done by the IIF).