An overview of continuous (semi-martingale) optimal transport for model calibration is given in this paper. Ivan Guo et al present the general framework and then discuss the calibration of local, and ...
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
The paper argues for the need for and importance of the dual calibration of a probability of default (PD) model (ie, calibration to both point-in-time (PIT) and through-the-cycle (TTC) PD levels). It ...
In my first blog about calibration (Calibration, Part 1), I discussed calibrating inputs using techniques that tolerated offsets by simply including them in the measurements. In this blog I will look ...
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