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Internal Rating – An Active Instrument In The Management Of Banking Risks. Case Study Bcr

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  • PICIU, Gabriela Cornelia

    (Centre for Financial and Monetary Research “Victor Slăvescu”, Romanian Academy)

Abstract

This paper aims to clarify some aspects regarding the banking activity in general, of crediting, in particular, because it involves a risk by the very elements of anticipation underlying the decision of the banking specialists. For the bank it is very important to know this risk, to make an evaluation as close as possible to reality, and to reject or accept it in full awareness. The contribution of the internal rating in terms of efficiency and stability of a bank is shown via a case study – the Romanian Commercial Bank. The internal rating used by BCR is an active instrument for making credit decisions it provides valuable indicators to the banking analysts that can be used to develop de risk management policies and the prudential measures for the balanced risk dispersion. Given the fact that the credit rating contributes to the objective, professional analysis, the system must be continuously improved and developed by categories of clients and types of risk, so that the included criteria and the resulting conclusions are relevant.This paper aims to clarify some aspects regarding the banking activity in general, of crediting, in particular, because it involves a risk by the very elements of anticipation underlying the decision of the banking specialists. For the bank it is very important to know this risk, to make an evaluation as close as possible to reality, and to reject or accept it in full awareness. The contribution of the internal rating in terms of efficiency and stability of a bank is shown via a case study – the Romanian Commercial Bank. The internal rating used by BCR is an active instrument for making credit decisions it provides valuable indicators to the banking analysts that can be used to develop de risk management policies and the prudential measures for the balanced risk dispersion. Given the fact that the credit rating contributes to the objective, professional analysis, the system must be continuously improved and developed by categories of clients and types of risk, so that the included criteria and the resulting conclusions are relevant.

Suggested Citation

  • PICIU, Gabriela Cornelia, 2013. "Internal Rating – An Active Instrument In The Management Of Banking Risks. Case Study Bcr," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 17(2), pages 21-30.
  • Handle: RePEc:vls:finstu:v:17:y:2013:i:2:p:21-30
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    References listed on IDEAS

    as
    1. Ingo Fender & Nikola Tarashev & Haibin Zhu, 2008. "Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures," BIS Quarterly Review, Bank for International Settlements, March.
    2. R.W.J. van den Goorbergh & P.J.G. Vlaar, 1999. "Value-at-Risk analysis of stock returns: Historical simulation, varinace techniques or tail index estimation ?," WO Research Memoranda (discontinued) 579, Netherlands Central Bank, Research Department.
    3. Claudio Borio & Mathias Drehmann, 2009. "Assessing the risk of banking crises - revisited," BIS Quarterly Review, Bank for International Settlements, March.
    4. Danielsson, Jon & Morimoto, Yuji, 2000. "Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 25-48, December.
    5. Mathias Drehmann & Nikola Tarashev, 2011. "Systemic importance: some simple indicators," BIS Quarterly Review, Bank for International Settlements, March.
    6. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September.
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    More about this item

    Keywords

    rating system; managing risk; monitoring the credit; analysis of the customers;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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