Advanced Search
MyIDEAS: Login

The Use of Internal Rating Models in Managing the Risks Related to the Exposures of Non-banking Financial Institutions

Contents:

Author Info

  • Nicolae Dardac

    ()
    (Academy of Economic Studies, Bucharest, Romania)

  • Petronel Chiriac

    (Academy of Economic Studies, Bucharest, Romania)

  • Bogdan Moinescu

    (Academy of Economic Studies, Bucharest, Romania)

Abstract

Although there is no express requirement in the regulations of the National Bank of Romania, the design, the implementation and the use of rating systems in the management of risks related to exposures of non-banking financial institutions (NFIs) on the basis of good banking practice, is a valuable and indispensable in the efficient administration of risks, especially in the current crisis. In this framework, this study describes the synthetic process of reviewing the scoring system used by IFN. The mechanism for evaluation of scoring system performance combines the indicators of discrimination power with econometric results of studying the functional relationship between risk variables integrated in the model and the credit status (default/ reimbursement) based on logit model. The empirical analysis provides clear evidences that while the discriminatory power related to qualitative component (reputational scoring) respects the requirements of a good ex-ante identification of non reimbursement cases, the power of discrimination of quantitative scoring is only marginally superior to a random model. The added value of the study is completed by highlighting the importance of technical conditions of financing facility for anticipating events of non reimbursement. At the same time, the study tries to highlight the importance of scientific calibration of such a scoring system to perform effectively in the early detection of cases of default.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.amfiteatrueconomic.ro/temp/Article_1115.pdf
Download Restriction: no

Bibliographic Info

Article provided by Academy of Economic Studies - Bucharest, Romania in its journal The AMFITEATRU ECONOMIC journal.

Volume (Year): 14 (2012)
Issue (Month): 31 (February)
Pages: 258-271

as in new window
Handle: RePEc:aes:amfeco:v:14:y:2012:i:31:p:258-271

Contact details of provider:
Postal: 6 ROMANA PLACE, 70167 - BUCHAREST
Phone: 0040-01-2112650
Fax: 0040-01-3129549
Email:
Web page: http://amfiteatrueconomic.ase.ro/
More information through EDIRC

Related research

Keywords: non-banking financial institutions; credit risk; scoring model; univariate analysis; multivariate analysis; ROC curve; discriminating power;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Lucian-Liviu Albu & Vasile Dinu, 2009. "How Deep and How Long Could Be the Recession in Romania," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 11(Number Sp), pages 675-683, November.
  2. Nicolae Dardac & Bogdan Moinescu, 2006. "Credit Risk Quantitative Evaluation in the Basel II Perspective," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 5(5(500)), pages 41-46, July.
  3. Gheorghe Oprescu & Daniela Eleodor & Russell Damtoft, 2009. "The Real Economy and Competition Policy in Periods of Retrenchment," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 11(Number Sp), pages 722-734, November.
  4. Nicolae Dardac & Adriana Giba, 2010. "Systemic Crisis Management and Central Bank Independence. An Empirical Analysis," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 12(28), pages 594-605, June.
  5. Alina Mihaela Dima, 2009. "Operational Risk Assesement Tools for Quality Management in Banking Services," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 11(26), pages 364-372, June.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:aes:amfeco:v:14:y:2012:i:31:p:258-271. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Valentin Dumitru).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.