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Internal Ratings Systems: An Empirical Approach

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  • Monica Dudian

    (Academy of Economic Studies)

  • Monica Balcan Maciuca
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    Abstract

    The objective of this article is to describe the standard architecture of an internal rating system, based on the theoretical references and empirical evidences of a limited number of banking groups operating in UE, USA and Romania. The first part of the paper sets out the theoretical and conceptual framework and it defines the methodology. The second part is focused on the internal rating system components and its organization.

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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/515dudian&balcan.pdf
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    Bibliographic Info

    Article provided by Lucian Blaga University of Sibiu, Faculty of Economic Sciences in its journal Studies in Business and Economics.

    Volume (Year): 5 (2010)
    Issue (Month): 1 (april)
    Pages: 71-79

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    Handle: RePEc:blg:journl:v:5:y:2010:i:1:p:71-79

    Contact details of provider:
    Postal: Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania
    Phone: 004 0269 210375
    Fax: 004 0269 210375
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    Web page: http://economice.ulbsibiu.ro/
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    Related research

    Keywords: credit risk parameters; risk management; rating assignment;

    References

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    1. Lopez, Jose A. & Saidenberg, Marc R., 2000. "Evaluating credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 151-165, January.
    2. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
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