Internal rating and economic cycle: a structural approach towards Basel 3 regulation

Silvio Cuneo and Renato Maino
Additional contact information
Silvio Cuneo: Gruppo Intesa Sanpaolo
Renato Maino: Università di Torino

BANCARIA, 2010, vol. 12, 43-58

Abstract: Analyzing corporate fundamentals in the internal rating process (both at industrial and competitive level), leveraging on public information, is an important issue. The aim is to facilitate the counterpart’s forwardlooking assessment, beyond a stringent cyclical point-in-time valuation, with a Basle 3 compliant method. Empirical results of a preliminary application, carried out on the portfolio of an Italian banking group, appear in line with expectations and allow to appreciate the potential consequences at operational, analytical and management level.

Keywords: rating; pro-ciclicità (search for similar items in EconPapers)
JEL-codes: G21 G28 M21 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bancariaeditrice.it/prodotti/vedi/prodotto/id/2418/bancaria-n-12-2010 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:12:y:2010:m:december:p:43-58

Access Statistics for this article

BANCARIA is currently edited by Bancaria Editrice - the publisher of the Italian Banking Association

More articles in BANCARIA from Bancaria Editrice
Bibliographic data for series maintained by Francesco Emiliano Tani ().