quodly/risk/models

• probability of default (pd)
• split 1
• unstressed, unbiased
• stressed, biased
• split 2
• point-in-time (pit)
• through-the-cycle (ttc)
• split 3
• 1-year
• lifetime
• loss given default (lgd)
• exposure at default (ead)

• default rate (dr)
• average default rate (avdr)
• long-run average default rate (lravdr)

• category a
• category b
• category c