Catch the Heterogeneity: The New Bank-Tailored Integrated Rating
The purpose of this article is to develop a bank-oriented rating approach, tailored by incorporating the various heterogeneity dimensions characterizing financial institutions, named “Bank-Tailored Integrated Rating” (BTIR). BTIR is able to catch the financial cycle, including the pandemic crisis, a...
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doaj-c681ff3b2f4b4c4382a5ddc1c7efaeff2021-07-23T13:49:47ZengMDPI AGJournal of Risk and Financial Management1911-80661911-80742021-07-011431231210.3390/jrfm14070312Catch the Heterogeneity: The New Bank-Tailored Integrated RatingDaniela Arzu0Marcella Lucchetta1Guido Max Mantovani2Department of Management, University of Bologna, 40126 Bologna, ItalyDepartment of Economics, University of Venice, 30123 Venezia, ItalyInternational University of Monaco, 98000 Monaco-Ville, MonacoThe purpose of this article is to develop a bank-oriented rating approach, tailored by incorporating the various heterogeneity dimensions characterizing financial institutions, named “Bank-Tailored Integrated Rating” (BTIR). BTIR is able to catch the financial cycle, including the pandemic crisis, and the ongoing change in banking normative from a microeconomic perspective, and it is inherently coherent with the challenging frontier of forecasting tail risk in financial markets in similar ways as in De Nicolò and Lucchetta (2017), although their approach is macroeconomic) since it considers the downside risk in the theoretical framework. The method employed was an innovative integrated rating (IR) statistical and econometrical panel pre-selection analysis that takes into account the characteristics of risk and the greater heterogeneity of the banks. The result is a challenge rating procedure delivering forward-looking preselection requested by the new International Financial Reporting Standard (IFRS-9). The future direction is extremely promising given the increase in idiosyncratic and systemic risks in financial markets.https://www.mdpi.com/1911-8074/14/7/312bank-tailored integrated ratingbanks’ heterogeneityfinancial cycle |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Daniela Arzu Marcella Lucchetta Guido Max Mantovani |
spellingShingle |
Daniela Arzu Marcella Lucchetta Guido Max Mantovani Catch the Heterogeneity: The New Bank-Tailored Integrated Rating Journal of Risk and Financial Management bank-tailored integrated rating banks’ heterogeneity financial cycle |
author_facet |
Daniela Arzu Marcella Lucchetta Guido Max Mantovani |
author_sort |
Daniela Arzu |
title |
Catch the Heterogeneity: The New Bank-Tailored Integrated Rating |
title_short |
Catch the Heterogeneity: The New Bank-Tailored Integrated Rating |
title_full |
Catch the Heterogeneity: The New Bank-Tailored Integrated Rating |
title_fullStr |
Catch the Heterogeneity: The New Bank-Tailored Integrated Rating |
title_full_unstemmed |
Catch the Heterogeneity: The New Bank-Tailored Integrated Rating |
title_sort |
catch the heterogeneity: the new bank-tailored integrated rating |
publisher |
MDPI AG |
series |
Journal of Risk and Financial Management |
issn |
1911-8066 1911-8074 |
publishDate |
2021-07-01 |
description |
The purpose of this article is to develop a bank-oriented rating approach, tailored by incorporating the various heterogeneity dimensions characterizing financial institutions, named “Bank-Tailored Integrated Rating” (BTIR). BTIR is able to catch the financial cycle, including the pandemic crisis, and the ongoing change in banking normative from a microeconomic perspective, and it is inherently coherent with the challenging frontier of forecasting tail risk in financial markets in similar ways as in De Nicolò and Lucchetta (2017), although their approach is macroeconomic) since it considers the downside risk in the theoretical framework. The method employed was an innovative integrated rating (IR) statistical and econometrical panel pre-selection analysis that takes into account the characteristics of risk and the greater heterogeneity of the banks. The result is a challenge rating procedure delivering forward-looking preselection requested by the new International Financial Reporting Standard (IFRS-9). The future direction is extremely promising given the increase in idiosyncratic and systemic risks in financial markets. |
topic |
bank-tailored integrated rating banks’ heterogeneity financial cycle |
url |
https://www.mdpi.com/1911-8074/14/7/312 |
work_keys_str_mv |
AT danielaarzu catchtheheterogeneitythenewbanktailoredintegratedrating AT marcellalucchetta catchtheheterogeneitythenewbanktailoredintegratedrating AT guidomaxmantovani catchtheheterogeneitythenewbanktailoredintegratedrating |
_version_ |
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