The In-house credit assessment system of Banca d'Italia

Filippo Giovannelli (), Alessandra Iannamorelli (), Aviram Levy () and Marco Orlandi ()
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Filippo Giovannelli: Bank of Italy
Alessandra Iannamorelli: Bank of Italy
Aviram Levy: Bank of Italy
Marco Orlandi: Bank of Italy

No 586, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Banca d’Italia’s In-house Credit Assessment System (ICAS) is one of the sources for the valuation of collateral agreed upon within the Eurosystem’s monetary policy framework. It helps to provide liquidity to those Italian banks that cannot rely on an internal model (IRB). Its role has become all the more important in the aftermath of the financial crisis relating to the COVID-19 pandemic of 2020. The paper first outlines the Eurosystem’s collateral framework and describes Banca d’Italia’s ICAS in terms of architecture and governance. It then presents in detail the underlying statistical model, including the definition of default adopted, and the validation process for the statistical model and for the expert system. The paper concludes by providing data on the amount of collateral pledged with an ICAS rating and on the main features, including the probabilities of default, of the Italian non-financial companies rated by the system.

Keywords: collateral framework; credit risk (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-cba and nep-rmg
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Citations: View citations in EconPapers (4)

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