The Bank Tailored Integrated Rating

Daniela Arzu (), Marcella Lucchetta and Guido Massimiliano Mantovani
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Daniela Arzu: Ca’ Foscari University of Venice, Department of Management
Marcella Lucchetta: Ca’ Foscari University of Venice, Department of Economics
Guido Massimiliano Mantovani: International University of Monaco

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 63-67 from Springer

Abstract: Abstract We develop a banks specific integrated rating, tailored incorporating the various heterogeneity dimensions characterizing financial institutions (see Mantovani et al., Int Res J Appl Finance IV:458–489, 2013 and Mantovani et al., J Bus Econ Finance 3:18–49, 2014 regarding the heterogeneity risk analysis in corporate firms), named bank tailored integrated rating (BTIR). The approach is inherently coherent with the challenging frontier of forecasting tail risk in financial markets (De Nicolò and Lucchetta, J Appl Econ 32(1):159–170, 2017) since it considers the downside risk in the theoretical framework. The innovation consists in using the integrated rating (IR) with the pre-selection of the variables through a statistical procedure that takes into account the characteristics of risk and greater heterogeneity of the banks. A Vector Autoregressive Model (VAR) is only a first simple application proposal.

Keywords: Bank tailored integrated rating; Banks’ heterogeneity; Financial cycle (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_11

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DOI: 10.1007/978-3-319-89824-7_11

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