Catch the heterogeneity: The new bank-tailored integrated rating

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 7 ; Pages: 1-25 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: bank-tailored integrated rating ; banks' heterogeneity ; financial cycle

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Arzu, Daniela ; Lucchetta, Marcella ; Mantovani, Guido Max
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14070312
• Handle: http://hdl.handle.net/10419/258416
• Last update: 10.03.2025, 11:44 AM CET