Developing, Validating and Using Internal Ratings : Methodologies and Case Studies

De Laurentis, Giacomo; Maino, Renato; Molteni, Luca

ISBN 10: 0470711493 / ISBN 13: 9780470711491

Published by Wiley, 2010

About this Item

Seller Inventory # 8569346-n

Bibliographic Details

• Title: Developing, Validating and Using Internal Ratings : Methodologies and Case Studies
• Publisher: Wiley
• Publication Date: 2010
• Language: English
• ISBN 10: 0470711493
• ISBN 13: 9780470711491
• Binding: Hardcover
• Condition: New

About this title

Synopsis

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.

About the Author

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.