Endogenous Derivation and Forecast of Lifetime PDs

@article{Perederiy2015EndogenousDA,
  title={Endogenous Derivation and Forecast of Lifetime PDs},
  author={Volodymyr Perederiy},
  journal={ERN: Other Econometrics: Econometric \& Statistical Methods (Topic)},
  year={2015}
}
  • V. Perederiy
  • Published 2015
  • Economics, Computer Science
  • ERN: Other Econometrics: Econometric & Statistical Methods (Topic)
This paper proposes a simple technical approach for the derivation of future (forward) point-in-time PD forecasts, with minimal data requirements. The inputs required are the current and future through-the-cycle PDs of the obligors, their last known default rates, and a measure for the systematic dependence of the obligors. Technically, the forecasts are made from within a classical asset-based credit portfolio model, just with the assumption of a suitable autoregressive process for the… Expand
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