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The Bank Tailored Integrated Rating

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Daniela Arzu

    (Ca’ Foscari University of Venice, Department of Management)

  • Marcella Lucchetta

    (Ca’ Foscari University of Venice, Department of Economics)

  • Guido Massimiliano Mantovani

    (International University of Monaco)

Abstract

We develop a banks specific integrated rating, tailored incorporating the various heterogeneity dimensions characterizing financial institutions (see Mantovani et al., Int Res J Appl Finance IV:458–489, 2013 and Mantovani et al., J Bus Econ Finance 3:18–49, 2014 regarding the heterogeneity risk analysis in corporate firms), named bank tailored integrated rating (BTIR). The approach is inherently coherent with the challenging frontier of forecasting tail risk in financial markets (De Nicolò and Lucchetta, J Appl Econ 32(1):159–170, 2017) since it considers the downside risk in the theoretical framework. The innovation consists in using the integrated rating (IR) with the pre-selection of the variables through a statistical procedure that takes into account the characteristics of risk and greater heterogeneity of the banks. A Vector Autoregressive Model (VAR) is only a first simple application proposal.

Suggested Citation

  • Daniela Arzu & Marcella Lucchetta & Guido Massimiliano Mantovani, 2018. "The Bank Tailored Integrated Rating," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 63-67, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_11
    DOI: 10.1007/978-3-319-89824-7_11
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