Abstract
This paper presents a integrated credit risk modelling approach for private firms which fulfil 2001 Basel Accord requirements in the case of the adoption of the foundation approach. Our model comprises: (a) a bottom-up technique to initially assess the through-the-cycle one-year Probability of Default (PD) and (b) a top-down approach to refine and calibrate this historical PD in a forward-looking credit risk assessment based on next year's economic outlook. We present findings from applying this model to a large sample of client firms of the Bank of Rome.
Original language | English |
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Pages (from-to) | 311-340 |
Number of pages | 30 |
Journal | Review of Quantitative Finance and Accounting |
Volume | 27 |
Issue number | 3 |
DOIs | |
Publication status | Published - Nov 2006 |
Externally published | Yes |