Basel III Credit Rating Systems An Applied Guide to Quantitative and

More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and quali

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Copyright material from www.palgraveconnect.com - licensed to GoogleBOT - PalgraveConnect - 2016-03-09

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10.1057/9780230361188preview - Basel III Credit Rating Systems, Luisa Izzi, Gianluca Oricchio and Laura Vitale

IZZI “FM” — 2011/11/30 — 19:32 — PAGE i — #1

Copyright material from www.palgraveconnect.com - licensed to GoogleBOT - PalgraveConnect - 2016-03-09

BASEL III CREDIT RATING SYSTEMS

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10.1057/9780230361188preview - Basel III Credit Rating Systems, Luisa Izzi, Gianluca Oricchio and Laura Vitale

IZZI “FM” — 2011/11/30 — 19:32 — PAGE ii — #2

Copyright material from www.palgraveconnect.com - licensed to GoogleBOT - PalgraveConnect - 2016-03-09

Palgrave Macmillan Finance and Capital Markets Series For information about other titles in the series please visit the website http://www.palgrave.com/finance/financeandcapitalmarkets.asp

An Applied Guide to Quantitative and Qualitative Models

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Luisa Izzi, Gianluca Oricchio and Laura Vitale

10.1057/9780230361188preview - Basel III Credit Rating Systems, Luisa Izzi, Gianluca Oricchio and Laura Vitale

IZZI “FM” — 2011/11/30 — 19:32 — PAGE iii — #3

Copyright material from www.palgraveconnect.com - licensed to GoogleBOT - PalgraveConnect - 2016-03-09

Basel III Credit Rating Systems

©Luisa Izzi, Gianluca Oricchio and Laura Vitale 2012. Foreword© Fabio Gallia 2012 All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6–10 Kirby Street, London EC1N 8TS.

The authors have asserted their rights to be identified as the authors of this work in accordance with the Copyright, Designs and Patents Act 1988. First published in 2012 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries. ISBN 978–0–230–29424–0

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This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library. A catalog record for this book is available from the Library of Congress. 10 9 8 7 6 5 4 3 2 1 21 20 19 18 17 16 15 14 13 12 Printed and bound in Great Britain by CPI Antony Rowe, Chi