Basel III Credit Rating Systems

Chapter 1. Introduction: The Efficient Market Hypothesis and Basel III New Banking Regulations

1. Introduction: The Efficient Market Hypothesis and Basel III New Banking Regulations
Luisa Izzi, Gianluca Oricchio, Laura Vitale

Part I. The Quantitative Approach to Credit Rating Models

2. Corporate SME and Retail PD models
Luisa Izzi, Gianluca Oricchio, Laura Vitale

3. Sovereign and Banks’ Rating Models
Luisa Izzi, Gianluca Oricchio, Laura Vitale

4. Exposure at Default Valuation
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5. Loss Given Default Estimation
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6. Validation of Internal Credit Models
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Part II. The Qualitative Approach to Credit Rating Models

7. The Internal Rating Agency: Organization and Scope
Luisa Izzi, Gianluca Oricchio, Laura Vitale

8. Expert Judgment-based Rating Assignment Process
Luisa Izzi, Gianluca Oricchio, Laura Vitale

9. Slotting Criteria Credit Rating Models
Luisa Izzi, Gianluca Oricchio, Laura Vitale

10. Global Recovery Rate
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Part III. Rating Assignment on Specialized Lending

11. Rating Assignment on Project Finance
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12. Rating Assignment on Object Finance
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13. Rating Assignment on Telecom Operators
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Part IV. Risk-Adjusted Credit Pricing Models

14. Pricing in Liquid Markets
Luisa Izzi, Gianluca Oricchio, Laura Vitale

15. CDS-implied EDF Credit Measures and Fair-value Spreads
Luisa Izzi, Gianluca Oricchio, Laura Vitale

16. Pricing in Nonliquid Markets
Luisa Izzi, Gianluca Oricchio, Laura Vitale

Nyckelord: Economics, Asian Economics, Corporate Finance, Risk Management, Insurance, Business Finance, Banking