Giacomo de laurentis developing validating and using internal ratings

19-Dec-2017 22:38 by 9 Comments

Giacomo de laurentis developing validating and using internal ratings

Model building is described in detail, and seeks to clarify the main issues concerned with model building, how to use statistical tools and interpret results.Univariate, bivariate and multivariate stages of model building are discussed outlining the need to merge the knowledge of quant people wi.

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• Demonstrates how to use statistical packages for building statistical-based credit rating systems.Key Features: • Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases.Managers can deploy and manage economic capital more effectively when they understand how their decisions add value to their organizations.This book contributes greatly to this understanding by the intuitive, non-mathematical way in which it approaches the subject.--Nout Wellink, Chairman of the Basel Committee on Banking Supervision / President of De Nederlandsche Bank Economic Capital provides a solid foundation for understanding the role and measurement of economic capital within financial institutions.Developing, Validating and Using Internal Ratings; Contents; 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 Pan Alp Bank's statistical-based rating system for financial institutions; 7 Ratings usage opportunities and warnings; Bibliography; Index.

Two case studies are devoted to building and validating statistical-based models for borrowers’ ratings, using SPSS-PASW and SAS statistical packages.

--Chris Matten, Partner, Pricewaterhouse Coopers LLP As the authors state rightly: risks are not managed by models, but by people .

With the increased importance of economic capital models for the management of financial institutions, senior managers need to understand clearly the concepts, assumptions, and limitations of these models.

--Michel Crouhy, Head of Research & Development, NATIXIS This book is an extremely useful guide.

It is written from a practitioner's viewpoint, which makes it especially practical; there is a refreshing absence of mathematical formulae, and academic discussions are quickly summarized, but there are plenty of references and footnotes for those who want to delve into these points deeper.

--Terry Bulger, EVP, Risk Analytics & Portfolio Management, Bank of Montreal Klaassen and van Eeghen provide the first comprehensive treatment of the challenging subject of economic capital attribution and performance measurement.