Developing, Validating and Using Internal Ratings (eBook)

Methodologies and Case Studies

Giacomo de Laurentis, Renato Maino, Luca Molteni (Autoren)

eBook Download: EPUB

2011 | 1. Auflage
334 Seiten
John Wiley & Sons (Verlag)
978-1-119-95764-5 (ISBN)

Infos

This book provides a thorough analysis of internal rating systems. Two case studies are devoted to building and validating statistical-based models for borrowers' ratings, using SPSS-PASW and SAS statistical packages. Mainstream approaches to building and validating models for assigning counterpart ratings to small and medium enterprises are discussed, together with their implications on lending strategy.

Key Features:

* Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases.

* Discusses available methodologies to build, validate and use internal rate models.

* Demonstrates how to use statistical packages for building statistical-based credit rating systems.

* Evaluates sources of model risks and strategic risks when using statistical-based rating systems in lending.

This book will prove to be of great value to bank managers, credit and loan officers, quantitative analysts and advanced students on credit risk management courses.

Autor

GIACOMO DE LAURENTIS, Department of Finance and SDA Bocconi School of Management, Bocconi University, Italy. RENATO MAINO, Lecturer, Bocconi University and Turin University, Italy. LUCA MOLTENI, Department of Economics and SDA Bocconi School of Management, Bocconi University, Italy.

Inhalt

Preface

1 Introduction

2 Classifications and key concepts of credit risk

2.1 A classification

2.2 Key concepts

3 Rating assignment methodologies

3.1 Experts based approaches

3.2 Statistical based models

3.3 Heuristic and numerical approaches

3.4 Involving qualitative information

4 Developing a statistical based rating system

4.1 The process

4.2 Setting model's objectives and generating thedataset

4.3 Case study: dataset and preliminary analysis

4.4 Defining an analysis sample

4.5 Univariate and bivariate analyses

4.6 Estimating a model and assessing its discriminatorypower

4.7 From scores to ratings and from ratings to probabilities ofdefault

5 Validating rating models

5.1 Validation profiles

5.2 Roles of internal validation units

5.3 Qualitative and quantitative validation

6 Case Study. Validating PanalpBank's statistical basedrating system for Financial Institutions 211

6.1 Case study objectives and context

6.2 The 'Development report' for the validationunit

6.3 The 'Validation report' by the validationunit

7 Conclusions. Ratings usage opportunities andwarnings.

7.1 Internal ratings are critical to credit risk management

7.2 Internal ratings assignment trends

7.3 Statistical based ratings and regulation: conflictingobjectives?

7.4 Statistical based ratings and customers: needs and fears

7.5 Limits of statistical based ratings

7.6 Statistical based ratings and the theory of financialintermediation

7.7 Statistical based ratings usage: guidelines

Bibliography

Subject Index

Produkt-Details

• Erscheint lt. Verlag: 20.6.2011
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Technik
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Finanz- u. Wirtschaftsstatistik • Insurance & Risk Management • Statistics • Statistics for Finance, Business & Economics • Statistik • Versicherungswesen u. Risikomanagement • Wirtschaftsstatistik
• ISBN-10: 1-119-95764-8 / 1119957648
• ISBN-13: 978-1-119-95764-5 / 9781119957645