Applying Credit Risk Models to Deposit Insurance Pricing : Empirical Evidence from the Italian Banking System

@inproceedings{Maccario2003ApplyingCR,
  title={Applying Credit Risk Models to Deposit Insurance Pricing : Empirical Evidence from the Italian Banking System},
  author={Aurelio Maccario},
  year={2003}
}
  • Aurelio Maccario
  • Published 2003
The Federal Deposit Insurance Corporation (FDIC) has recently tested credit risk measurement models used by large international banks to measure the risk of their credit portfolios in order to measure the risk of default of its portfolio of insured banks. Using both balance sheet and equity market data for a sample of 15 large Italian banks, this study applies a credit value at risk model to estimate both individual and portfolio default risks for the Fondo Interbancario di Tutela dei Depositi… CONTINUE READING

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