Basel III Credit Rating Systems [electronic resource] : An Applied Guide to Quantitative and Qualitative Models /
Izzi, L.author.
Oricchio, G.author.
Vitale, L.author.
More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
Description based upon print version of record.
Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; List of Abbreviations; Acknowledgements; Foreword by Fabio Gallia; 1 Introduction: The Efficient Market Hypothesis and Basel III New Banking Regulations; PART I THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS; 2 Corporate SME and Retail PD models; 2.1 PD corporate SME model development; 2.2 PD corporate SME sub-segment models; 2.3 PD retail models development; 3 Sovereign and Banks' Rating Models; 3.1 Country rating model; 3.2 Bank rating model; 4 Exposure at Default Valuation; 4.1 Calculating EAD components
4.2 Granularity of CCF4.3 Application of average values to the current portfolio; 4.4 From historical medium value to an ex ante EAD model; 5 Loss Given Default Estimation; 5.1 Structure of the LGD workout calculation; 5.2 Downturn LGD; 5.3 From workout to an ex ante LGD model; 6 Validation of Internal Credit Models; 6.1 Validation of the PD model; 6.2 LGD model validation; 6.3 EAD model's validation; 6.4 PD validation statistical test; PART II THE QUALITATIVE APPROACH TO CREDIT RATING MODELS; 7 The Internal Rating Agency: Organization and Scope
8 Expert Judgment-based Rating Assignment Process8.1 Introduction; 8.2 Obligor 'corporate' definition; 8.3 Rating horizon; 8.4 High-level step-by-step guide to final rating; 8.5 Key drivers of the stand-alone rating; 8.6 Definition of support; 8.7 Identification of the support entity; 8.8 Nature of support; 8.9 Final rating; 8.10 Rating assignment on investment holding companies; 8.11 Implication of convertibility risk; 9 Slotting Criteria Credit Rating Models; 9.1 From risk factors to maturity profiles; 9.2 Maturity profiles and the slotting process
9.3 Putting it all together: the importance of slotting10 Global Recovery Rate; 10.1 Introduction; 10.2 Unsecured global recovery rate: definition and drivers; 10.3 Secured global recovery rate; 10.4 Particular cases of global recovery rate; 10.5 Exposure at default valuation; PART III RATINGASSIGNMENT ON SPECIALIZED LENDING; 11 Rating Assignment on Project Finance; 11.1 Project phase rating; 11.2 Project's stand-alone rating; 11.3 Support and final rating; 11.4 Senior unsecured GRR; 11.5 GRR secured at the facility level; 12 Rating Assignment on Object Finance; 12.1 Rating assignment on LBOs
12.2 Rating assignment on shipping finance12.3 Rating assignment on airlines and operating lessors; 13 Rating Assignment on Telecom Operators; 13.1 Stand-alone rating; PART IV RISK-ADJUSTED CREDIT PRICING MODELS; 14 Pricing in Liquid Markets; 14.1 Introduction; 14.2 The Merton structural default model©1; 14.3 The mathematical model; 14.4 Nelson-Siegel: a parametric approach; 14.5 The credit default swap5; 14.6 Liquid curves; 14.7 Non-liquid curves; 15 CDS-implied EDF Credit Measures and Fair-value Spreads1; 15.1 Introduction; 15.2 Overview
15.3 Practical applications of CDS-implied EDF measures and fair-value spreads
Includes bibliographical references and index.
More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
Basel III (2010)
Asia—Economic conditions.
Corporations—Finance.
Risk management.
Insurance.
Business enterprises—Finance.
Banks and banking.
Asian Economics.
Corporate Finance.
Risk Management.
Insurance.
Business Finance.
Banking.