An integrated multi-model credit rating system for private firms

Giovanni Butera () and Robert Faff

Review of Quantitative Finance and Accounting, 2006, vol. 27, issue 3, 340 pages

Abstract: This paper presents a integrated credit risk modelling approach for private firms which fulfil 2001 Basel Accord requirements in the case of the adoption of the foundation approach. Our model comprises: (a) a bottom-up technique to initially assess the through-the-cycle one-year Probability of Default (PD) and (b) a top-down approach to refine and calibrate this historical PD in a forward-looking credit risk assessment based on next year’s economic outlook. We present findings from applying this model to a large sample of client firms of the Bank of Rome. Copyright Springer Science + Business Media, LLC 2006

Keywords: Credit risk; Integrated model; Probability of default; Macroeconomic correction (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s11156-006-9434-7

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