eBook - ePub
Developing, Validating and Using Internal Ratings
Methodologies and Case Studies
- English
- ePUB (mobile friendly)
- Available on iOS & Android
eBook - ePub
Developing, Validating and Using Internal Ratings
Methodologies and Case Studies
About this book
This book provides a thorough analysis of internal rating systems. Two case studies are devoted to building and validating statistical-based models for borrowers' ratings, using SPSS-PASW and SAS statistical packages. Mainstream approaches to building and validating models for assigning counterpart ratings to small and medium enterprises are discussed, together with their implications on lending strategy.
Key Features:
- Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases.
- Discusses available methodologies to build, validate and use internal rate models.
- Demonstrates how to use statistical packages for building statistical-based credit rating systems.
- Evaluates sources of model risks and strategic risks when using statistical-based rating systems in lending.
This book will prove to be of great value to bank managers, credit and loan officers, quantitative analysts and advanced students on credit risk management courses.
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Yes, you can access Developing, Validating and Using Internal Ratings by Giacomo De Laurentis,Renato Maino,Luca Molteni in PDF and/or ePUB format, as well as other popular books in Mathematics & Probability & Statistics. We have over one million books available in our catalogue for you to explore.
Information
Table of contents
- Cover Page
- Title Page
- Copyright Page
- Dedication
- Preface
- About the Authors
- 1: The emergence of credit ratings tools
- 2: Classifications and key concepts of credit risk
- 3: Rating assignment methodologies
- 4: Developing a statistical-based rating system
- 5: Validating rating models
- 6: Case study: Validating PanAlp Bank’s statistical-based rating system for financial institutions
- 7: Ratings usage opportunities and warnings
- Bibliography
- Index