Financial Risk Manager Part 1

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Q-95. Which of the following statements about through-the-cycle (TTC) and point-in-time (PIT) credit rating approaches is FALSE?

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A

External agency credit ratings tend to be through-the-cycle (TTC)

B

Through-the-cycle (TTC) is unconditional, while point-in-time (PIT) is conditional

C

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Credit spreads are at-the-point (PIT) and PIT measures theoretically incorporate more information

D

During crisis periods, PIT approaches imply higher expected and unexpected loss (EL & UL) such that PIT tends to be pro-cyclical

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