Supervision by robust risk monitoring – a cycle-independent Hungarian corporate credit rating system

György Inzelt (), Gábor Szappanos () and Zsolt Armai ()
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György Inzelt: Magyar Nemzeti Bank (Central Bank of Hungary)
Gábor Szappanos: Magyar Nemzeti Bank (Central Bank of Hungary)
Zsolt Armai: expert of FHB Nyrt.

Financial and Economic Review, 2016, vol. 15, issue 3, 51-78

Abstract: International and Hungarian prudential regulation primarily tasks the supervisory authority with controlling the supervised credit institutions’ lending policy and, in relation to this, the internal models used in this policy. However, the crisis period that started in 2009 demonstrated that in many cases credit institutions with the same lending policy employ models which project significantly different capital and risk costs when rating their clients. As a result, developing monitoring tools that enable comparison of individual internal models and regular monitoring of the lending practices of the individual institutions have recently gained prominence in international supervision. This study presents a possible, simple yet stable and readily applicable corporate monitoring framework which is in line with the Hungarian and international regulation and best practices.

Keywords: modelling and analysis based on large databases; forecasting (search for similar items in EconPapers)
JEL-codes: C53 C55 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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