The only title that combines discussion and analysis on the methodologies employed by the major rating agencies together with those actually implemented internally by credit practitioners from financial institutions. Additional contributions come from regulatory bodies and academics involved in the credit ratings process.

Provides a unique insight and overview into the many types of ratings that are in use today enabling you to compare and contrast the benefits as well as the potential pitfalls and peculiarities of the various systems. Designed to help you implement or assess your own internal credit ratings systems with an overview of what is currently available and will alert you to possible problems with individual ratings systems. Will help to ensure your internal credit rating systems are in line with current regulatory requirements by presenting background information on the new Basel ’Internal Ratings Based Approach’ as well as drawing upon relevant case studies that have been carried out on banks preparedness for this. Presents an up-to-date discussion on how corporate scandals, such as Enron occurred, together with retrospective analysis of the behaviour of public ratings to them. Discusses the possible flaws associated with the dependence on external ratings in particular situations.

TABLE OF CONTENTS

Rating credits
1. The A to Z of Standard and Poor’s Ratings
Chris Dinwoodie of Standard and Poor’s

2. Historical Corporate Rating Migration, Default and Recovery Rates
David Hamilton of Moody’s Investors Service

3. Cyclical Effects in Credit Risk Ratings and Default Risk
Linda Allen of Zicklin School of Business, Baruch College, City University of New York and Anthony Saunders of Stern School of Business, New York University

Rating agencies
4. An Analysis of the Credit Rating Industry
Lawrence J. White of Stern School of Business, New York University

5. The Meaning of Agency Ratings: A Behavioural Model of Rating Assignment
Sean C. Keenan and Jorge R. Sobehart of CitiGroup Risk Architecture

6. Hybrid Contingent Claims Models: A Practical Approach to Modelling Default Risk
Jorge R. Sobehart and Sean C. Keenan of CitiGroup Risk Architecture

Credit scoring techniques
7. Revisiting Credit Scoring Models in a Basel II Environment
Edward I. Altman of Stern School of Business, New York University

8. Credit Scoring for Corporate Debt
Eric Falkenstein of Deephaven Capital Management

9. Scoring and Validating Techniques for Credit Risk Rating Systems
Sebastian G. Fritz, Lars Popken and Christian Wagner of Credit Risk Management, Risk Analytics and Instruments, Deutsche Bank AG

10. Replicating Agency Ratings through Multinomial Scoring Models
Andrea Resti of Bergamo University

11. Capital Ratios and Credit Ratings as Predictors of Bank Failures
Arturo Estrella and Stavros Peristiani of Federal Reserve Bank of New York and Sangkyun Park of Office of Management and Budget

Regulatory issues on credit ratings
12. Regulatory use of Credit Ratings: Implications for Banks, Supervisors and Markets.
Barbara C. Matthews of Institute of International Finance

13. Regulatory Capital Based on Bank Internal Ratings of Credit Risk
Jeffrey A. Brown of Risk Analytics Division, Office of the Comptroller of the Currency

14. Supervisory and Regulatory Concerns Regarding Bank Internal Rating Systems
Jose A. Lopez of Federal Reserve Bank of San Francisco and Marc R. Saidenberg of Federal Reserve Bank of New York

15. Regulatory Issues on Credit Ratings
David M. Rowe, Dean Jovic and Marcel Beutler of SunGard Trading and Risk Systems

Internal rating systems of banks
16. Credit Culture
Dev Strischek of SunTrust Bank Inc

17. Internal Risk Rating Systems
Michel Crouhy, Dan Galai and Bob Mark of CIBC

18. The New Capital Accord and Internal Bank Ratings
Donald R. van Deventer and Jaqueline Outram of Kamakura Corporation

19. Designing and Implementing Effective Credit Rating Systems
Thomas Garside and Jonathon Greenman of Oliver, Wyman & Company

20. Preparing for the Internal Ratings-Based Approach
Andrea Szczesny and Ralf Ewert of Johann Wolfgang Goethe University, Frankfurt

21. Some Evidence on the Consistency of Banks’ Internal Ratings
Mark Carey of Federal Reserve Board

Credit ratings of asset securitisations
22. Measuring Portfolio Credit Risk with Default Experience Statistic (DES) Arthur M. Berd of Lehman Brothers

23. EL and DP Approaches to Rating CDOs and the Scope for "Ratings Shopping" William Perraudin and Vladislav Peretyatkin of Birkbeck, University of London

24. Rating Based on Credit Portfolio Models
Ludger Overbeck and Hans Lotter of Deutsche Bank AG