Bank Lending, Internal Rating and VAR Models: How Much Independence for Operating Units?

Posted: 17 Jul 2009 Last revised: 15 Jan 2010

See all articles by Francesco Saita

Francesco Saita

Bocconi University - Department of Finance

Andrea Resti

Bocconi University - Department of Finance

Date Written: February 1, 2009

Abstract

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

Saita, Francesco and Resti, Andrea, Bank Lending, Internal Rating and VAR Models: How Much Independence for Operating Units? (February 1, 2009). Bancaria No. 02-2009, Available at SSRN: https://ssrn.com/abstract=1433788

Francesco Saita

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

Andrea Resti (Contact Author)

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

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