Advertisement

Credit Risk Assessment: The Internal Rating Systems

  • Paola Ferretti
Chapter
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

Whenever we speak about loans as the most widespread source of financing for firms (especially small and medium-sized ones)—either internal or external to the banking relationship approach—attention is necessarily drawn to the processes of credit risk measurement and management.

Keywords

Credit Risk Capital Requirement Internal Rating Supporting Factor Small Bank 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

  1. Allen & Overy, Capital Requirements Directive IV Framework. Internal Ratings Based Approach to Credit Risk in the Banking Book, January (2014)Google Scholar
  2. A. Altieri-Pignalosa, G. Birindelli, P. Ferretti, P. La Ganga, P. Porretta, Il rating nel processo di Credit Risk Management, in M. Modina, V. Formisano (edited), Il rating tra impresa, banca e territorio, SINERGIE, Rapporti di Ricerca, n. 36, Novembre, 2012, 41–125Google Scholar
  3. G. Albareto, M. Benvenuti, S. Moretti, M. Pagnini, P. Rossi, L’organizzazione dell’attività creditizia e l’utilizzo delle tecniche di di scoring nel sistema bancario italiano: risultati di un’indagine campionaria. Banca dItalia, Occasional Papers, 12, Aprile (2008)Google Scholar
  4. BCBS–Basel Committee on Banking and Supervision, International convergence of capital measurement and capital standards, July (1988)Google Scholar
  5. BCBS–Basel Committee on Banking and Supervision Amendment to the capital accord to incorporate market risks, November (2005)Google Scholar
  6. BCBS–Basel Committee on Banking and Supervision, Basel II: International convergence of capital measurement and capital standards: a revised framework, Comprehensive version, June (2006)Google Scholar
  7. BCBS–Basel Committee on Banking and Supervision Revisions to the Standardised Approach for credit risk, Consultative Document (2014a)Google Scholar
  8. BCBS–Basel Committee on Banking and Supervision, Revisions to the Standardised Approach for credit risk, Second Consultative Document, December (2015)Google Scholar
  9. Banca d’Italia, Economie regionali. L’economia delle regioni italiane. Dinamiche recenti e aspetti strutturali, Roma, 23, Novembre (2011)Google Scholar
  10. G. Birindelli and Ferretti, I rischi delle imprese bancarie nell’ottica di Basilea 2, R. Caparvi, L’impresa bancaria. Economia e tecniche di gestione (FrancoAngeli, Milano, 2006)Google Scholar
  11. G. Birindelli and P. Ferretti, Il credito alle imprese: dinamica, criticità e disclosure, in G. Birindelli and M. Modina (edited), Imprese, banche e finanza. Le evidenze di un’analisi territoriale alla luce della crisi finanziaria, (FrancoAngeli, Milano, 2010)Google Scholar
  12. P. Bongini, M.L. Di Battista, L. Nieri, Relationship banking: una soluzione antica contro la crisi recente?, Bancaria, 5 (2009)Google Scholar
  13. T. Cesaroni, Procyclicality of credit rating systems: how to manage it, Banca dItalia, Working Papers, 1034 (2015)Google Scholar
  14. A. Cornaglia, M. Morone, in Basilea 3. Gli impatti sulle banche, ed by F. Tutino, G. Birindelli, P. Ferretti. Il rischio di credito: comportamento ciclico dei rating e meccanismi controciclici di Basilea 3 (Egea, Milano, 2011)Google Scholar
  15. G. De Laurentis, R. Maino, I rating a base statistica (Bancaria, Roma, 2009)Google Scholar
  16. S. Del Prete, M. Pagnini, P. Rossi, V. Vacca, Organizzarsi per prestare in tempo di crisi. Risultati di un’indagine sulle banche, Banca dItalia, Occasional Papers, 154, Aprile (2013)Google Scholar
  17. M. Draghi, Intervento del Governatore della Banca d’Italia, Convegno AIAF, ASSIOM, ATIC FOREX, Napoli, 13 Febbraio (2010)Google Scholar
  18. EBA–European Banking Authority, Discussion Paper. Future of the IRB Approach, March (2015a)Google Scholar
  19. EBA–European Banking Authority, EBA Discussion Paper and call for evidence on SMEs lending and the SME supporting factor, 31 July (2015c)Google Scholar
  20. EBA–European Banking Authority, Guidelines on the application of the definition of deafult under Article 178 of Regulation (UE) 575/2013, Consultation Paper, 22 September (2015d)Google Scholar
  21. EBA–European Banking Authority, Opinion of the European Banking Authority on the implementation of the regulatory review of the IRB Approach, February (2016a)Google Scholar
  22. EBA–European Banking Authority, EBA Report on SME and SME Supporting Factor, 23 March (2016b)Google Scholar
  23. EBA BSG–European Banking Authority Banking Stakeholder Group, Consultation on EBA/DP/2015/02 on call for evidence on SMEs lending and the SME supporting factor. General Comments and Replies to Questions, 29th September (2015)Google Scholar
  24. B. Engelmann, R. Rauhmeier, The Basel II Risk Parameters. Estimation, validation and stress testing (Springer, Berlin, 2006)Google Scholar
  25. P. Schwizer, in Strategy and organization of corporate banking, ed by G. De Laurentis. Organizational strucutres (Springer, Berlin, 2005)Google Scholar
  26. L.F. Signorini, EU Finance Day for SMEs, Italy, Rome, 18 October (2013)Google Scholar
  27. B. Szego, Risoluzione presentata dall’On. Taranto: iniziative per il mantenimento del fattore di supporto alle piccole e medie imprese, Roma, 10 Febbraio (2016)Google Scholar
  28. R. Topp, R. Perl, Through-the-cycle ratings versus point-in-time ratings and implications of the mapping between both rating types,. Financ. Market. Inst. Instrum. 19(1), 47–61 (2010)CrossRefGoogle Scholar

Copyright information

© The Author(s) 2016

Authors and Affiliations

  • Paola Ferretti
    • 1
  1. 1.Universita di PisaViareggioItaly

Personalised recommendations