Developing, Validating and Using Internal Ratings: Methodologies and Case Studies - Rilegato

De Laurentis, Giacomo; Maino, Renato; Molteni, Luca

 
9780470711491: Developing, Validating and Using Internal Ratings: Methodologies and Case Studies
Rilegato
ISBN 10: 0470711493 ISBN 13: 9780470711491
Casa editrice: John Wiley & Sons Inc, 2010

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Informazioni sull?autore

GIACOMO DE LAURENTIS, Department of Finance and SDA Bocconi School of Management, Bocconi University, Italy.

RENATO MAINO, Lecturer, Bocconi University and Turin University, Italy.

LUCA MOLTENI, Department of Economics and SDA Bocconi School of Management, Bocconi University, Italy.

Dalla quarta di copertina

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
John Wiley & Sons Inc
Data di pubblicazione
2010
Lingua
Inglese
ISBN 10 
0470711493
ISBN 13 
9780470711491
Rilegatura
Copertina rigida
Numero edizione
1
Numero di pagine
324
Contatto del produttore
non disponibile
Persona responsabile
non disponibile