An integrated multi-model credit rating system for private firms

Butera, Giovanni and Faff, Robert (2006) An integrated multi-model credit rating system for private firms. Review of Quantitative Finance and Accounting, 27 3: 311-340. doi:10.1007/s11156-006-9434-7


Author Butera, Giovanni
Faff, Robert
Title An integrated multi-model credit rating system for private firms
Journal name Review of Quantitative Finance and Accounting   Check publisher's open access policy
ISSN 0924-865X
1573-7179
Publication date 2006-11
Sub-type Article (original research)
DOI 10.1007/s11156-006-9434-7
Volume 27
Issue 3
Start page 311
End page 340
Total pages 30
Place of publication New York, United States
Publisher Springer New York LLC
Language eng
Abstract This paper presents a integrated credit risk modelling approach for private firms which fulfil 2001 Basel Accord requirements in the case of the adoption of the foundation approach. Our model comprises: (a) a bottom-up technique to initially assess the through-the-cycle one-year Probability of Default (PD) and (b) a top-down approach to refine and calibrate this historical PD in a forward-looking credit risk assessment based on next year's economic outlook. We present findings from applying this model to a large sample of client firms of the Bank of Rome. © Springer Science + Business Media, LLC 2006.
Keyword Credit risk
Integrated model
Probability of default
Macroeconomic correction
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Mon, 07 Mar 2011, 10:37:48 EST by Karen Morgan on behalf of UQ Business School