BASEL III CREDIT RATING SYSTEMS: AM APPLIED GUIDE TO QUANTITATIVE IZZI L. ORICCHIO G. VITALE L. / AND QUALITATIVE MODELS Księgarnia

Basel III Credit Rating Systems

An Applied Guide to Quantitative and Qualitative Models

The market turmoil and the new Basel III capital requirements are re-shaping the financial competitive landscape. More than ever, banking competition is based on the ability to assess, to price and to manage the cost of credit risk. Bankers are increasingly called to manage a process of analysis of the customer in a more structured way.

This book is a comprehensive guide to quantitative and qualitative credit rating models and covers all loan portfolios (Corporate, Retail, Banks, Sovereign and Specialized Lending).The credit rating models are illustrated in great detail and are based on the best practices currently in use in large international banking groups. The book also contains pricing tools for liquid and non-liquid markets and is one of the first books on credit risk management published since the crisis.

LUISA IZZI, PhD in Economics and Financial Decisions, 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 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.

LAURAVITALE is Head of Judgemental Rating, BNL-BNP Paribas Group, Italy. She has worked for major Italian banks in the areas of investment banking, and M&A. She has also been Head of Business Development in the Public Administration Sector, BNL-BNP Paribas Group, Italy, and has written many articles appearing in academic journals.

Table of Contents

Foreword

Introduction: The Efficient Market Hypothesis (EMH) and Basel 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
Expert Judgment Based Rating Assignment Process
Slotting Criteria Credit Rating Models
Global Recovery Rate (GRR)

PART III: RATING ASSIGNMENT ON SPECIALIZED LENDING

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

368 pages, Hardcover

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