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The In-house credit assessment system of Banca d'Italia

Author

Listed:
  • Filippo Giovannelli

    (Bank of Italy)

  • Alessandra Iannamorelli

    (Bank of Italy)

  • Aviram Levy

    (Bank of Italy)

  • Marco Orlandi

    (Bank of Italy)

Abstract

Banca d’Italia’s In-house Credit Assessment System (ICAS) is one of the sources for the valuation of collateral agreed upon within the Eurosystem’s monetary policy framework. It helps to provide liquidity to those Italian banks that cannot rely on an internal model (IRB). Its role has become all the more important in the aftermath of the financial crisis relating to the COVID-19 pandemic of 2020. The paper first outlines the Eurosystem’s collateral framework and describes Banca d’Italia’s ICAS in terms of architecture and governance. It then presents in detail the underlying statistical model, including the definition of default adopted, and the validation process for the statistical model and for the expert system. The paper concludes by providing data on the amount of collateral pledged with an ICAS rating and on the main features, including the probabilities of default, of the Italian non-financial companies rated by the system.

Suggested Citation

  • Filippo Giovannelli & Alessandra Iannamorelli & Aviram Levy & Marco Orlandi, 2020. "The In-house credit assessment system of Banca d'Italia," Questioni di Economia e Finanza (Occasional Papers) 586, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_586_20
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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2020-0586/QEF_586_20.pdf
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    Cited by:

    1. Di Virgilio, Stefano & Faiella, Ivan & Mistretta, Alessandro & Narizzano, Simone, 2024. "Assessing credit risk sensitivity to climate and energy shocks: Towards a common minimum standards in line with the ECB climate agenda," Journal of Policy Modeling, Elsevier, vol. 46(3), pages 552-568.
    2. Auria, Laura & Bingmer, Markus & Graciano, Carlos Mateo Caicedo & Charavel, Clémence & Gavilá, Sergio & Iannamorelli, Alessandra & Levy, Aviram & Maldonado, Alfredo & Resch, Florian & Rossi, Anna Mari, 2021. "Overview of central banks’ in-house credit assessment systems in the euro area," Occasional Paper Series 284, European Central Bank.
    3. Giulio Gariano & Gianluca Viggiano, 2022. "Press news and social media in credit risk assessment: the experience of Banca d’Italia’s In-house Credit Assessment System," Temi di discussione (Economic working papers) 24, Bank of Italy, Economic Research and International Relations Area.

    More about this item

    Keywords

    collateral framework; credit risk;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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