1-year Probability of Default

From Open Risk Manual

Definition

1-year Probability of Default (1-year PD or simply PD)is a metric introduced by the Basel II regulatory standard[1]

Calculation of 1-year PD

There are specific regulatory requirements for the development of 1-year PD models


References

  1. BCBS, International Convergence of Capital Measurement and Capital Standards, 2006

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