TAILIEUCHUNG - Rating models and its applications: Setting credit limits

In regulatory and competitive environments increasingly tight, banks have been forced to constantly improve their internal rating models. Despite the increased supply models and statistical approaches that has been proposed to them, the answer to the question: how much to lend ? remains always at the discretion of the credit risk manager. The aim of this paper is to propose a statistical approach that allows an estimation of the maximum facility bank overdraft (limits) that the credit risk manager may allow coorporate and to identify the determinants of this limits. | Journal of Applied Finance Banking 2015 201-216 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2015 Rating models and its Applications Setting Credit Limits Mehdi Bazzi1 and Chamlal Hasna2 Abstract In regulatory and competitive environments increasingly tight banks have been forced to constantly improve their internal rating models. Despite the increased supply models and statistical approaches that has been proposed to them the answer to the question how much to lend remains always at the discretion of the credit risk manager. The aim of this paper is to propose a statistical approach that allows an estimation of the maximum facility bank overdraft limits that the credit risk manager may allow coorporate and to identify the determinants of this limits. Keywords Rating models Risk Management Basel II Credit limits 1 Introduction This is the text of the introduction. A rating model is defined as the assign- 1 Laboratory of Computer Science Decision Aiding Faculty of Science Ain chock Casablanca Morocco. E-mail bazzimehdi@ 2 Laboratory of Computer Science Decision Aiding Faculty of Science Ain chock Casablanca Morocco. E-mail chamlal@ Article Info Received May 2 2015. Revised June 27 2015 Published online September 1 2015 202 Rating models and its Applications Setting Credit Limits ment of quantitative measure to a potential borrower to provide an estimation of its capacity to repay a loan Feldman 1 . Given that the commercial banks withdraw the major part of their profit business from loans they are very interested in the statistical rating models. The works of Altman 2 show that the developpment of an internal rating model with high discriminating power is indeed possible. His model was efficient based on a limited number of financial ratios and provide an imediate response to the credit decision. Henceforth banks have begun to develop their own rating models. The accuracy of the model is crucial for the banks that use .

• Ngân hàng - Tín dụng
• Rating models
• Risk management
• Basel II
• Credit limits
• Setting credit limits
• Credit risk management
• Financial risk components
• Bank risk management
• Credit scoring
• Credit ratings
• Rating system architecture
• Internal rating control committees
• Portfolio models for credit risk
• Portfolio model formulations
• Loan loss distribution
• Portfolio loss distribution
• equally affected
• Constitutional
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• Pleural effusion
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• extrapulmonary despite
• Sediment rating curve
• Multiple linear regression
• Artificial neural network
• Minimum description length
• Akaike’s information criterion
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• Mecerdes benz’s back ground
• Rating of business
• The changes of Mercesdes
• Fuel efficient models