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Basel III Credit Rating Systems: An Applied Guide to by Luisa Izzi, Gianluca Oricchio, Laura Vitale (auth.)

By Luisa Izzi, Gianluca Oricchio, Laura Vitale (auth.)

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Overall, how have you evaluated the management with reference to the level of knowledge, experience, skills and competences? Is the future of the company dependent on a few key managers? Is there an investor (or a group of investors) holding a share of the company’s stock sufficient to influence the company’s strategies? What is the evaluation of the market in which the company operates? What is the expected production trend for the current year? What is the quality of the company’s market references?

9 will be excluded from the successive analysis process because of its undetermined relation with respect to the event to be forecast – the default. It is necessary to work out the analysis of distribution and relation with the default, both before and after the phase of data preprocessing, aimed at the elimination of problems such as the presence of missing data, outliers and exceptions (for example, ‘0/0’, ‘missing/0’ and so on). There are a number of ways to manage the missing data: the elimination of the indicators not available for a significant percentage of observations 28 QUANTITATIVE APPROACH TO CREDIT RATING MODELS (vertical missing), the substitution of the missing data by predefined values, as well the elimination of observations for which a significant number of indicators from the long lists are not available (horizontal missing).

Does the company’s official financial forecast appear realistic? What is the quality of the official financial information that the company communicates to the market? What is the company’s geographical business concentration? To what extent is the company’s business diversified? What is the level of liquidity of the company’s inventories? What is the quality of the company’s customers? 56 QUANTITATIVE APPROACH TO CREDIT RATING MODELS 38 and the exponential function argument: n x · β = β0 + βi · xi i=1 it is possible to compute the weights p1 , p2 , .

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