Cyclical Factors Rules

Cyclical Factors are one of the key inputs for the PD model. Cyclical Factor is an important input to convert TTC PD to PIT PD in the Vasicek model. Cyclical Factor is primarily called Z Score or Market Factor or Systematic Factor. Cyclical factors information is required at per period and scenario level.

The cyclical factor rule is defined at the Modelling Set, Portfolio Rule, and Economic Scenario Rule levels. Users also need to provide the frequency of the cyclical factors.