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Project Finance Exposures in the Supervisory Slotting Criteria Approach: Pricing and Judgemental Analysis

  • Pietro Marchetti
  • Anna Valeria Venneri
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

This study fits into the research topic about the pricing and risk management models in the decisions of financial intermediaries. In particular, this work investigates the Project Finance (PF) exposures which are characterized by a specific prudential regulation in the general framework of Basel II, so called Supervisory Slotting Criteria Approach (SSCA). In the Internal Ratings-Based (IRB) approach, banks that don’t meet the requirements for the estimation of probability of default (PD) under the corporate Foundation approach for their specialized lending (SL) assets (that include the sub-class of PF) are required to map their internal risk grades to five supervisory categories (strong, good, satisfactory, weak, default), each of which is associated with a specific risk weight depending on both the project’s strength and the loan’s maturity (M).

Keywords

Credit Risk Supervisory Category Expect Loss Project Finance Minimum Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Pietro Marchetti and Anna Valeria Venneri 2013

Authors and Affiliations

  • Pietro Marchetti
  • Anna Valeria Venneri

There are no affiliations available

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