文档介绍：Credit Rating Systems: Regulatory Framework
parative Evaluation of Existing
Methods
Dimitris iou1, Michael Doumpos1, Constantin Zopounidis1,and
Panos M. Pardalos2
1 Technical University of Crete, Department of Production Engineering and
Management, Financial Engineering Laboratory, University Campus, 73100
Chania, Greece @, {mdoumpos;
kostas}***@
2 Department of Industrial and Systems Engineering, Center for Applied
Optimization, University of Florida, 303 Weil Hall, . Box 116595,
Gainesville, FL 32611-6595, USA ******@
1 Introduction
The credit industry has experienced a rapid growth during the last two
decades. The fulfillment of modern economic needs has been a lucrative op-
portunity for credit institutions. Having redefined their credit policy, creditors
offer a series of credit products, from credit cards to a wide range of loans.
However, the potential losses from the excessive credit play a crucial role in a
bank’s viability and profitability perspectives. The recent bank failures in the
United States, East Asia, and Latin America have raised the level of concern.
As defined by the mittee on Banking Supervision (BCBS, 2003),
one category of credit exposures is the corporate ones, which today constitute
one of the major issues of risk management for the banking industry.
Debt financing is perhaps the most anizational policy for rais-
ing capital. This capital is either invested, aiming at corporate growth, or is
used to fulfill corporate obligations. Thus, credit institutions are called upon
on a daily basis to decide whether or not to finance a finite number of firms.
However, the problem of credit risk assessment is clearly plex. Credit
risk does not automatically cease to exist by rejecting the applications of firms
that do not fulfill capital granting requirements. Most firms are classified as
medium-grade debtors. Therefore, the assessment of an obligor’s probability of
default is a crucial input in