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Basel III Credit Rating Systems

An Applied Guide to Quantitative and Qualitative Models

  • Authors
  • Luisa Izzi
  • Gianluca Oricchio
  • Laura Vitale

Table of contents

  1. Front Matter
    Pages i-xx
  2. Introduction: The Efficient Market Hypothesis and Basel III New Banking Regulations

    1. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 1-7
  3. The Quantitative Approach to Credit Rating Models

    1. Front Matter
      Pages 9-9
    2. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 11-67
    3. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 68-88
    4. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 89-101
    5. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 102-113
    6. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 114-143
  4. The Qualitative Approach to Credit Rating Models

    1. Front Matter
      Pages 145-145
    2. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 147-154
    3. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 155-181
    4. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 182-193
    5. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 194-205
  5. Rating Assignment on Specialized Lending

    1. Front Matter
      Pages 207-207
    2. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 209-214
    3. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 215-231
    4. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 232-239
  6. Risk-Adjusted Credit Pricing Models

    1. Front Matter
      Pages 241-241
    2. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 243-256
    3. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 257-301
    4. Luisa Izzi, Gianluca Oricchio, Laura Vitale
      Pages 302-333
  7. Back Matter
    Pages 334-344

About this book

Introduction

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.

Keywords

banking Basel II Basel III finance Rating risk management valuation

Bibliographic information