Bank Lending, Internal Rating and VAR Models: How Much Independence for Operating Units?
Posted: 17 Jul 2009 Last revised: 15 Jan 2010
Date Written: February 1, 2009
New rating systems allow to increase the efficiency of pricing policy and to define better solutions for managing the degree of independence of operating units. More In detail in defining limits to risk–adjusted applied to each counterpart, the bank can only propose to the distribution network or con define a constrained pricing policy. Especially at the beginning, pricing guidelines must be defined gradually and carefully. Pricing algorithmics must be used as estimates, shadow prices, that operating units had not to apply uncritically or mechanically.
Keywords: VAR, internal rating systems, pricing
JEL Classification: G21, G32
Suggested Citation: Suggested Citation