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'Point in Time' versus 'Through the Cycle'

Point in Time (PiT) v Through the Cycle (TTC)

There used to be an argument about this; its clear to me now that this is more than an arithmetic conundrum about Ratings and RWAs its a philosophical matter applicable to wider aspects of life & thus any arguments for PiT are just lazy and myopic. Here are some good recent references; I have selected recent papers since the debate has evolved towards a conclusion since it first developed 2 or so years ago. The game has 'moved on'!

The World Bank:

http://www-wds.worldbank.org/servlet/WDSContentServer/WDSP/IB/2011/...

MOODY's

http://www.moodysanalytics.com/Insight/Regulations/~/media/Insight/...

THE FLAWED CREDIT RATING REGULATORY REGIME

http://www.hertig.ethz.ch/Woo_Super_Disclosure_Mar11.pdf

Macroprudential Policy: An Organizing Framework (The IMF)

http://www.imf.org/external/np/pp/eng/2011/031411.pdf

Economic Scenario Generators (Central Bank of Ireland)

https://web.actuaries.ie/sites/default/files/story/2011/06/discussi...

PiTfalls of Through The Cycle (Barrie and Hibbert)

http://www.barrhibb.com/documents/downloads/Barrie_Hibbert_PITfalls...

Deloitte Canada on Behavioural Modelling (Alot of Pictures)

http://www.deloitte.com/assets/Dcom-SouthAfrica/Local%20Assets/Docu...

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Tags: asymptotix

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