Methodologies and Case Studies
E-Book, Englisch, 344 Seiten, E-Book
ISBN: 978-0-470-97189-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
Key Features:
* Presents an accessible framework for bank managers,students and quantitative analysts, combining strategic issues,management needs, regulatory requirements and statisticalbases.
* Discusses available methodologies to build, validate anduse internal rate models.
* Demonstrates how to use statistical packages forbuilding statistical-based credit rating systems.
* Evaluates sources of model risks and strategic riskswhen 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 advancedstudents on credit risk management courses.
Autoren/Hrsg.
Weitere Infos & Material
Preface
1 Introduction
2 Classifications and key concepts of credit risk
2.1 A classification
2.2 Key concepts
3 Rating assignment methodologies
3.1 Experts based approaches
3.2 Statistical based models
3.3 Heuristic and numerical approaches
3.4 Involving qualitative information
4 Developing a statistical based rating system
4.1 The process
4.2 Setting model's objectives and generating thedataset
4.3 Case study: dataset and preliminary analysis
4.4 Defining an analysis sample
4.5 Univariate and bivariate analyses
4.6 Estimating a model and assessing its discriminatorypower
4.7 From scores to ratings and from ratings to probabilities ofdefault
5 Validating rating models
5.1 Validation profiles
5.2 Roles of internal validation units
5.3 Qualitative and quantitative validation
6 Case Study. Validating PanalpBank's statistical basedrating system for Financial Institutions 211
6.1 Case study objectives and context
6.2 The 'Development report' for the validationunit
6.3 The 'Validation report' by the validationunit
7 Conclusions. Ratings usage opportunities andwarnings.
7.1 Internal ratings are critical to credit risk management
7.2 Internal ratings assignment trends
7.3 Statistical based ratings and regulation: conflictingobjectives?
7.4 Statistical based ratings and customers: needs and fears
7.5 Limits of statistical based ratings
7.6 Statistical based ratings and the theory of financialintermediation
7.7 Statistical based ratings usage: guidelines
Bibliography
Subject Index