medium · Frm Part 2 Credit Risk
An internal audit of a bank's rating system reveals that during a recession, the default rates within each rating grade remained stable, but a large number of obligors were downgraded to lower grades.
How should this rating system be classified?
- Point-in-Time (PIT)
- Through-the-Cycle (TTC)
- Hybrid Calibration
- Merton-Structural
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