Testing Measures for Degree of PIT-ness in PD models
This thesis explores the Point-in-Time (PIT) in probability of default (PD) models, focusing on evaluating the degree of PIT-ness. Unlike previous studies that developed new measures for PIT characteristics, this research compares existing measures and frameworks to identify unique challenges and opportunities. By analyzing and testing existing measures for 1-year PD models, the study offers new i
