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

Author

Listed:
  • Silvio Cuneo

    (Gruppo Intesa Sanpaolo)

  • Renato Maino

    (Università di Torino)

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.

Suggested Citation

  • Silvio Cuneo & Renato Maino, 2010. "Internal rating and economic cycle: a structural approach towards Basel 3 regulation," BANCARIA, Bancaria Editrice, vol. 12, pages 43-58, December.
    • Handle: RePEc:ban:bancar:v:12:y:2010:m:december:p:43-58
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    File URL: http://www.bancariaeditrice.it/prodotti/vedi/prodotto/id/2418/bancaria-n-12-2010
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    More about this item

    Keywords

    rating; pro-ciclicità;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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