Internal rating stress testing methods and implications

Pasquale Costa and Fabio Salis
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Pasquale Costa: Cariparma - Crédit Agricole
Fabio Salis: Cariparma - Crédit Agricole

BANCARIA, 2011, vol. 04, 64-76

Abstract: The internal validation function of Cariparma-Crédit Agricole has developed a stress testing framework on Individuals, Solo Traders and Sme ratings, with the aim of testing the performance of internal ratings in the current economic downturn. After having verified – through a backtesting analysis – the forecasting performance of the models, we have investigated their possible uses both for regulatory (authorization request to Bank of Italy for the validation of internal rating system, development of a new calibration testing tool to utilize during downturn phases) and management purposes (creation of capital buffers and assessment of economic capital in different Pillar 2 scenarios)

Keywords: stress test; probabilità di default; modelli di rating interno (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:04:y:2011:m:april:p:64-76

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