Giacomo de laurentis developing validating and using internal ratings
doi: 10.1002/9780470971901.ch5This chapter presents ratings systems validation scopes and steps.
(2010) Validating Rating Models, in Developing, Validating and Using Internal Ratings, John Wiley & Sons, Ltd, Chichester, UK.
He has been Associate Professor at Università degli Studi di Udine, and Full Professor and Vice-Sirector of the Department of Economics at Università degli Studi di Parma.
Key Features: • Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases.
Qualitative validation ensures the proper application of quantitative methods and the proper usage of ratings.
Quantitative validation comprises all validation procedures of ratings in which statistical indicators are calculated and interpreted on the basis of an empirical dataset.
Model building is described in detail, and seeks to clarify the main issues concerned with model building, how to 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.
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.
Two case studies are devoted to building and validating statistical-based models for borrowers' ratings, using SPSS-PASW and SAS statistical packages.