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
- ↑ BCBS, International Convergence of Capital Measurement and Capital Standards, 2006
