Developing, Validating and Using Internal Ratings

This book provides a thorough analysis of internal rating systems. Two case studies are devoted to building and validating statistical-based models for borrowers’ ratings, using SPSS-PASW and SAS statistical packages. Mainstream approaches to building and validating models for assigning counterpart ratings to small and medium enterprises are discussed, together with their implications on lending strategy. <p>Key Features:</p> <ul> <li>Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases.</li> <li>Discusses available methodologies to build, validate and use internal rate models.</li> <li>Demonstrates how to use statistical packages for building statistical-based credit rating systems.</li> <li>Evaluates sources of model risks and strategic risks when using statistical-based rating systems in lending.</li> </ul> <p>This book will prove to be of great value to bank managers, credit and loan officers, quantitative analysts and advanced students on credit risk management courses.</p>