Basel III credit rating systems: an applied guide to quantitative and qualitative models

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. LUISA IZZI is Head of Model Validation, BNL-BNP Paribas Group, Italy. She has worked in different areas of Risk Management in international banking groups, supporting the group-wide Basel implementation and validation processes. She is author of a number of scientific publications and divulgative articles in Mathematical Finance and Economics. GIANLUCA ORICCHIO is Professor of Finance and Capital Markets, CBM University, Italy.He has held senior capital and risk management positions at several global financial institutions. He has been Head of ACPM in Capitalia Banking Group and Head of Group Credit Treasury at Unicredit Group. Mr. Oricchio has written several books on financial markets, corporate finance and risk management. LAURA VITALE is Head of Internal Rating Agency, BNL-BNP Paribas Group, Italy.In the past she has worked for major Italian banks in ECM, Advisory & M&A, IPO/OPV.Whilst atthe BNL-BNP Paribas Group she has been Head of Origination in the Public Administration Sector and is nowHead of the Judgmental Rating Department. She has authored many journalarticles. INDICE: Foreword - Introduction: The Efficient Market Hypothesis (EMH) andBasel III New Banking Regulation - PART I: THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS - SME Corporate and Retail PD Models - Sovereign and Banks Rating Models - Exposure at Default Valuation - Loss Given Default Estimation - Validation of Credit Internal Models - PART II: THE QUALITATIVE APPROACH TO CREDIT RATING MODELS - The Internal Rating Agency Organization and Scope - ExpertJudgment Based Rating Assignment Process - Slotting Criteria Credit Rating Models - Global Recovery Rate (GRR) - PART III: RATING ASSIGNMENT ON SPECIALIZEDLENDING - Rating Assignment on Object Finance - Rating Assignment on Telecom Operators - PART IV: RISK ADJUSTED CREDIT PRICING MODELS - Pricing in Liquid Markets - CDS-Implied EDF Credit Measures and Fair-Value Spreads - Pricing in Non-Liquid Markets

• ISBN: 978-0-230-29424-0
• Editorial: Palgrave MacM
• Encuadernacion: Cartoné
• Páginas: 288
• Fecha Publicación: 16/12/2011
• Nº Volúmenes: 1
• Idioma: Inglés