Bank Lending, Internal Rating and VAR Models: How Much Independence for Operating Units?

Abstract

New rating systems allow to increase the efficiency of pricing policy and to define better solutions for managing the degree of independence of operating units. More In detail in defining limits to risk–adjusted applied to each counterpart, the bank can only propose to the distribution network or con define a constrained pricing policy. Especially at the beginning, pricing guidelines must be defined gradually and carefully. Pricing algorithmics must be used as estimates, shadow prices, that operating units had not to apply uncritically or mechanically.

Keywords: VAR, internal rating systems, pricing

JEL Classification: G21, G32