Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default

Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation

Yang, Bill Huajian, (2015)

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.>, (2022)

Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework

Yang, Bill Huajian, (2014)