 Project Finance Exposures in the Supervisory Slotting Criteria Approach: Pricing and Judgemental AnalysisPietro Marchetti and Anna Valeria Venneri Chapter 13 in Asset Pricing, Real Estate and Public Finance over the Crisis, 2013, pp 228-241 from Palgrave Macmillan Abstract: Abstract This study fits into the research topic about the pricing and risk management models in the decisions of financial intermediaries. In particular, this work investigates the Project Finance (PF) exposures which are characterized by a specific prudential regulation in the general framework of Basel II, so called Supervisory Slotting Criteria Approach (SSCA). In the Internal Ratings-Based (IRB) approach, banks that don’t meet the requirements for the estimation of probability of default (PD) under the corporate Foundation approach for their specialized lending (SL) assets (that include the sub-class of PF) are required to map their internal risk grades to five supervisory categories (strong, good, satisfactory, weak, default), each of which is associated with a specific risk weight depending on both the project’s strength and the loan’s maturity (M). Keywords: Credit Risk; Supervisory Category; Expect Loss; Project Finance; Minimum Price (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-1-137-29377-0_14 Ordering information: This item can be ordered from Access Statistics for this chapter More chapters in Palgrave Macmillan Studies in Banking and Financial Institutions from Palgrave Macmillan |
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