Developing Validating And Using Internal Ratings
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Developing Validating And Using Internal Ratings
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Author : Giacomo De Laurentis
language : en
Publisher: Wiley
Release Date : 2010-10-11
Developing Validating And Using Internal Ratings written by Giacomo De Laurentis and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-11 with Mathematics categories.
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.
Developing Validating And Using Internal Ratings
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Author : Giacomo De Laurentis
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-20
Developing Validating And Using Internal Ratings written by Giacomo De Laurentis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-20 with Mathematics categories.
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.
Risk Culture In Banking
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Author : Alessandro Carretta
language : en
Publisher: Springer
Release Date : 2017-10-11
Risk Culture In Banking written by Alessandro Carretta and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-11 with Business & Economics categories.
This book explores risk culture in banks following the financial crisis. It analyses the role of national and institutional risk culture, market competitiveness, organisational systems and institutional practices that led to a weakening of risk culture in financial institutions leading up to the financial crisis. It addresses how to assess and measure risk culture, and analyse the impact on performance and reputation. Finally it explores the impact of regulation and a variety of tools that can be applied from the board down to promote a healthy risk culture in the governance of financial institutions internal controls and risk culture in banks.
Basel Ii Implementation A Guide To Developing And Validating A Compliant Internal Risk Rating System
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Author : Bogie Ozdemir
language : en
Publisher: McGraw Hill Professional
Release Date : 2008-07-31
Basel Ii Implementation A Guide To Developing And Validating A Compliant Internal Risk Rating System written by Bogie Ozdemir and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-31 with Business & Economics categories.
Basel II is a global regulation, and financial institutions must prove minimum compliance by 2008 The authors are highly sought-after speakers and among the world’s most recognized authorities on Basel II implementation Accompanying CD-ROM includes spreadsheet templates that will assist corporations as they implement Basel II
The Governance Of Credit Rating Agencies
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Author : Andrea Miglionico
language : en
Publisher: Edward Elgar Publishing
Release Date :
The Governance Of Credit Rating Agencies written by Andrea Miglionico and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on with Credit bureaus categories.
The global crisis revealed that credit rating agencies (CRAs) are capable of bringing about potential distortions in the financial sector, thereby resulting in a reduction in market confidence which, in turn, influences negotiations and expectations. CRAs need to be held accountable for lack of transparency and inaccurate ratings, however the existing regulatory framework does not secure adequate investor protection. This book provides a new and important contribution to research in the area, at a crucial time in the debate around financial regulation and investment regimes.
Credit Rating And Bank Firm Relationships
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Author : Michele Modina
language : en
Publisher: Springer
Release Date : 2015-09-22
Credit Rating And Bank Firm Relationships written by Michele Modina and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-09-22 with Business & Economics categories.
This book explores the role of the rating system in creditworthiness assessment, looking into its current status, strengths and weaknesses and possible evolution in the light of Basel 3 and the Global Economic Crisis.
Corporate Bankruptcy Prediction
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Author : Błażej Prusak
language : en
Publisher: MDPI
Release Date : 2020-06-16
Corporate Bankruptcy Prediction written by Błażej Prusak and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-16 with Business & Economics categories.
Bankruptcy prediction is one of the most important research areas in corporate finance. Bankruptcies are an indispensable element of the functioning of the market economy, and at the same time generate significant losses for stakeholders. Hence, this book was established to collect the results of research on the latest trends in predicting the bankruptcy of enterprises. It suggests models developed for different countries using both traditional and more advanced methods. Problems connected with predicting bankruptcy during periods of prosperity and recession, the selection of appropriate explanatory variables, as well as the dynamization of models are presented. The reliability of financial data and the validity of the audit are also referenced. Thus, I hope that this book will inspire you to undertake new research in the field of forecasting the risk of bankruptcy.
The Basel Ii Risk Parameters
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Author : Bernd Engelmann
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-31
The Basel Ii Risk Parameters written by Bernd Engelmann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-31 with Business & Economics categories.
The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
Risk Value And Default
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Author : Oliviero Roggi
language : en
Publisher: World Scientific
Release Date : 2015-07-30
Risk Value And Default written by Oliviero Roggi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-30 with Business & Economics categories.
Scholars and practitioners have known for a long time that risk plays an important, indeed central, role in determining the appropriate discount rate to be used in a sophisticated valuation model. In today's world, however, the very risk of survival, especially for financial institutions, is essential to the health of the world's capital markets and their impact on the global economy.Risk, Value and Default is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default. The book seeks to explore the interaction between the risk of default and enterprise risk, and their joint impact on firm valuation. It aims to address the problem of how corporations should deal with risk and how they can maximize shareholder value. It also examines various conceptual ways to measure risk, thereby bridging the gap between theoretical concepts and pragmatic application.The book combines sound conceptual analytics and empirical tools to provide useful information and tangible guidelines for firms, risk managers and financial analysts and advisors. Scholars and professionals with an interest in risk management, and managers, owners, creditors and potential investors in enterprises will find Risk, Value and Default a particularly useful guide to understanding the relationship between risk generation, risk management and corporate value and default from an interdisciplinary perspective.
Managing Energy Risk
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Author : Markus Burger
language : en
Publisher: John Wiley & Sons
Release Date : 2014-06-23
Managing Energy Risk written by Markus Burger and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-23 with Business & Economics categories.
An overview of today's energy markets from a multi-commodity perspective As global warming takes center stage in the public and private sectors, new debates on the future of energy markets and electricity generation have emerged around the world. The Second Edition of Managing Energy Risk has been updated to reflect the latest products, approaches, and energy market evolution. A full 30% of the content accounts for changes that have occurred since the publication of the first edition. Practitioners will appreciate this contemporary approach to energy and the comprehensive information on recent market influences. A new chapter is devoted to the growing importance of renewable energy sources, related subsidy schemes and their impact on energy markets. Carbon emissions certificates, post-Fukushima market shifts, and improvements in renewable energy generation are all included. Further, due to the unprecedented growth in shale gas production in recent years, a significant amount of material on gas markets has been added in this edition. Managing Energy Risk is now a complete guide to both gas and electricity markets, and gas-specific models like gas storage and swing contracts are given their due. The unique, practical approach to energy trading includes a comprehensive explanation of the interactions and relations between all energy commodities. Thoroughly revised to reflect recent changes in renewable energy, impacts of the financial crisis, and market fluctuations in the wake of Fukushima Emphasizes both electricity and gas, with all-new gas valuation models and a thorough description of the gas market Written by a team of authors with theoretical and practical expertise, blending mathematical finance and technical optimization Covers developments in the European Union Emissions Trading Scheme, as well as coal, oil, natural gas, and renewables The latest developments in gas and power markets have demonstrated the growing importance of energy risk management for utility companies and energy intensive industry. By combining energy economics models and financial engineering, Managing Energy Risk delivers a balanced perspective that captures the nuances in the exciting world of energy.