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Article

Catch the Heterogeneity: The New Bank-Tailored Integrated Rating

1
Department of Management, University of Bologna, 40126 Bologna, Italy
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Department of Economics, University of Venice, 30123 Venezia, Italy
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International University of Monaco, 98000 Monaco-Ville, Monaco
4
Department of Management, University of Venice, 30123 Venezia, Italy
*
Author to whom correspondence should be addressed.
Academic Editor: Raghbendra Jha
J. Risk Financial Manag. 2021, 14(7), 312; https://doi.org/10.3390/jrfm14070312
Received: 23 May 2021 / Revised: 24 June 2021 / Accepted: 28 June 2021 / Published: 8 July 2021
(This article belongs to the Special Issue Bank Lending and Monetary Policy)
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. View Full-Text
Keywords: bank-tailored integrated rating; banks’ heterogeneity; financial cycle bank-tailored integrated rating; banks’ heterogeneity; financial cycle
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MDPI and ACS Style

Arzu, D.; Lucchetta, M.; Mantovani, G.M. Catch the Heterogeneity: The New Bank-Tailored Integrated Rating. J. Risk Financial Manag. 2021, 14, 312. https://doi.org/10.3390/jrfm14070312

AMA Style

Arzu D, Lucchetta M, Mantovani GM. Catch the Heterogeneity: The New Bank-Tailored Integrated Rating. Journal of Risk and Financial Management. 2021; 14(7):312. https://doi.org/10.3390/jrfm14070312

Chicago/Turabian Style

Arzu, Daniela, Marcella Lucchetta, and Guido M. Mantovani 2021. "Catch the Heterogeneity: The New Bank-Tailored Integrated Rating" Journal of Risk and Financial Management 14, no. 7: 312. https://doi.org/10.3390/jrfm14070312

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