Retail Credit Risk Management (eBook)

MARIO ANOLLI Università Cattolica del Sacro Cuore, Italy DAMIANO GUADALUPI Banca d'Italia CORRADO GIANNASCA Barclays Bank, Italy EMANUELE GIOVANNINI Unicredit Bank, Italy ELISA ALGHISI MANGANELLO UBI Banca and Barclays Bank VALENTINA LEUCARI Free-lance Consultant ANTONIO ARFE Deloitte Consulting PAOLO GIANTURCO Deloitte Consulting LORENZO BOCCHI Prometeia Group TIZIANO BELLINI Prometeia Group RENZO TRAVERSINI SAS Institute srl, Italy ANSELMO MARMONTI SAS Institute srl, Italy FRANCESCO MERLIN McKinsey & Co.

List of Tables List of Figures Notes on Contributors PART 1 REGULATORY FRAMEWORK Introduction;  Anolli, M., Beccalli, E. PART 2 RISK TAKING: MEASUREMENT, PRICING AND MANAGEMENT The Ever-evolving Basel Accord;  Guadalupi, D. Private Individuals: Credit Risk Modeling; Giannasca, C., Giordani, T. SMEs: Credit Risk Modeling;  Giovannini, E. The Critical Model Parameter: LGD;  Alghisi Manganello, E., Leucari, V. Model Validation;  Arfé, A., Gianturco, P. Risk Adjusted Performance Measures;  Anolli, M. PART 3 PORTFOLIO CREDIT RISK: MEASUREMENT AND MANAGEMENT Portfolio Credit Risk Modeling;  Bocchi, L., Bellini, T.  Stress Testing, Capital Planning, and Risk Integration;  Bellini, T, Bocchi, L. Portfolio Management;  Giordani, T., Giannasca, C. PART 4 OPERATIONAL IMPLICATION IT Systems for Credit Risk Management;  Traversini, R., Marmonti, A. A New Retail Credit Risk Management Approach to Cope with the Crisis;  Merlin, F.