Basel III Credit Rating Systems: An Applied Guide to Quantitative and Qualitative Models

Hardcover | December 19, 2011

byL. Izzi, G. Oricchio, L. Vitale

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More than ever, banking competition is based on the ability to control the cost of risk and can be 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.

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More than ever, banking competition is based on the ability to control the cost of risk and can be 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 ba...

LUISA IZZI Head of Model Validation, BNL-BNP Paribas, Italy. LAURA VITALE Head of Internal Rating Agency, BNL-BNP Paribas, Italy, and Chairman of AIAF (Italian Financial Analyst Association). GIANLUCA ORICCHIO Professor of Finance and Capital Markets, CBM University, Italy.

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Format:HardcoverDimensions:368 pages, 9.02 × 5.98 × 0.03 inPublished:December 19, 2011Publisher:Palgrave Macmillan UKLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230294243

ISBN - 13:9780230294240

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Table of Contents

Foreword
PART I: THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS
Introduction to Part I
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
Introduction to Part II
The Internal Rating Agency Organization and Scope
Intrinsic Rating, Support, Counterparty Rating
Slotting Criteria Credit Rating Models
Unsecured Global Recovery Rate
Exposure-at-Default Valuation
PART III: PRICING
Introduction to Part III
Pricing in Liquid Markets
CDS-Implied EDF Model and Fair-Value Spreads Model
Pricing in Non Liquid Markets
Some Examples
PART IV: CASES
Introduction to Part IV
Cases of Project Finance
Cases of Asset Financing
Cases of LBOs
Cases of Telecom operators
Cases of Financial Holdings
General Case of Secured Global Recovery Rate
Particular Cases of Global Recovery Rate