Developing, validating, and using internal ratings :
De Laurentis, Giacomo.
Developing, validating, and using internal ratings : methodologies and case studies / Giacomo De Laurentis, Renato Maino, Luca Molteni. - 1 online resource (xii, 324 pages)
Includes bibliographical references (pages 315-320) and index.
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 PanAlp Bank's statistical-based rating system for financial institutions; 7 Ratings usage opportunities and warnings; Bibliography; Index.
This book looks at credit risk management, key concepts, measures and tools and focuses on possible approaches to rating, analysing and comparing expert judgment-based approaches, statistical based models and numerical tools. Two case studies are presented which focus on model building and validation. 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.
9780470971895 0470971894 0470971908 9780470971901 9780470711491 0470711493
10.1002/9780470971901 Wiley InterScience http://www3.interscience.wiley.com
Credit ratings.
Risk assessment.
Business.
BUSINESS & ECONOMICS--Marketing--General.
BUSINESS & ECONOMICS--Distribution.
Credit ratings.
Risk assessment.
Electronic books.
HG3751.5 / .D4 2010eb
658.8/8
Developing, validating, and using internal ratings : methodologies and case studies / Giacomo De Laurentis, Renato Maino, Luca Molteni. - 1 online resource (xii, 324 pages)
Includes bibliographical references (pages 315-320) and index.
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 PanAlp Bank's statistical-based rating system for financial institutions; 7 Ratings usage opportunities and warnings; Bibliography; Index.
This book looks at credit risk management, key concepts, measures and tools and focuses on possible approaches to rating, analysing and comparing expert judgment-based approaches, statistical based models and numerical tools. Two case studies are presented which focus on model building and validation. 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.
9780470971895 0470971894 0470971908 9780470971901 9780470711491 0470711493
10.1002/9780470971901 Wiley InterScience http://www3.interscience.wiley.com
Credit ratings.
Risk assessment.
Business.
BUSINESS & ECONOMICS--Marketing--General.
BUSINESS & ECONOMICS--Distribution.
Credit ratings.
Risk assessment.
Electronic books.
HG3751.5 / .D4 2010eb
658.8/8