Catch the Heterogeneity: The New Bank-Tailored Integrated Rating
| Autor: | Daniela Arzu, Marcella Lucchetta, Guido Massimiliano Mantovani |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
financial cycle
Settore SECS-P/11 - Economia degli Intermediari Finanziari bank-tailored integrated rating banks’ heterogeneity Downside risk Settore SECS-P/05 - Econometria Settore SECS-P/02 - Politica Economica Frontier 0502 economics and business ddc:330 Systemic risk Economics 050207 economics banks' heterogeneity Settore SECS-P/01 - Economia Politica 050208 finance Actuarial science 05 social sciences Perspective (graphical) Financial market HD61 HG1-9999 Normative Risk in industry. Risk management Tail risk Finance |
| Zdroj: | Journal of Risk and Financial Management Volume 14 Issue 7 Journal of Risk and Financial Management, Vol 14, Iss 312, p 312 (2021) |
| Popis: | The purpose of this article is to develop a bank-oriented rating approach, tailored by incorporating the various heterogeneity dimensions characterizing financial institutions, named “Bank-Tailored Integrated Rating” (BTIR). BTIR is able to catch the financial cycle, including the pandemic crisis, and the ongoing change in banking normative from a microeconomic perspective, and it is inherently coherent with the challenging frontier of forecasting tail risk in financial markets in similar ways as in De Nicolò and Lucchetta (2017), although their approach is macroeconomic) since it considers the downside risk in the theoretical framework. The method employed was an innovative integrated rating (IR) statistical and econometrical panel pre-selection analysis that takes into account the characteristics of risk and the greater heterogeneity of the banks. The result is a challenge rating procedure delivering forward-looking preselection requested by the new International Financial Reporting Standard (IFRS-9). The future direction is extremely promising given the increase in idiosyncratic and systemic risks in financial markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|