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Office of the Superintendent of Financial Institutions (OSFI) of Canada (2004) Risk Quantification of IRB Systems at IRB Banks: Appendix—A Conservative Estimate of a Long-Term Average PD by a Hypothetical Bank. December 2004.

has been cited by the following article:

• TITLE: Extending Multi-Period Pluto and Tasche PD Calibration Model Using Mode LRDF Approach

  AUTHORS: Denis Surzhko

  KEYWORDS: Credit Risk, Low Default Portfolio, PD Calibration

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.4, August 28, 2014

  ABSTRACT: The intention of this paper is to propose extension to the Pluto and Tasche PD calibration model for low default portfolios that could produce more stable LRDF estimates and eliminate the necessity of quartile choice, while preserving adequate level of conservatism. Multi-period Pluto and Tasche model allows us to fulfill Basel committee requirements regarding long-term LRDF calibration even for portfolios with no observable defaults. The main drawback of that approach is a very strict requirement for the sample: only borrowers that are observable to the bank within each point on long-term horizon could be used as observations. Information regarding rating migrations, borrowers that arrived in the portfolio after sample cutoff date and borrowers that left the portfolio before the end of long-term calibration horizon should be excluded from the sample. Proposed Mode approach pairs Pluto and Tasche model with mode LRDF estimator (proposed by Canadian OSFI), as the results, it eliminates drawbacks of the original Pluto and Tasche model.