Internal Ratings Systems: An Empirical Approach
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.
Volume (Year): 5 (2010)
Issue (Month): 1 (april)
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- 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.).
- Jose A. Lopez & Marc R. Saidenberg, 1999.
"Evaluating credit risk models,"
Working Papers in Applied Economic Theory
99-06, Federal Reserve Bank of San Francisco.
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