Guido Massimiliano Mantovani

The Bank Tailored Integrated Rating

We develop a banks specific integrated rating, tailored incorporating the various heterogeneity dimensions characterizing financial institutions (see Mantovani et al., Int Res J Appl Finance IV:458–489, 2013 and Mantovani et al., J Bus Econ Finance 3:18–49, 2014 regarding the heterogeneity risk analysis in corporate firms), named bank tailored integrated rating (BTIR). The approach is inherently coherent with the challenging frontier of forecasting tail risk in financial markets (De Nicolo and Lucchetta, J Appl Econ 32(1):159–170, 2017) since it considers the downside risk in the theoretical framework. The innovation consists in using the integrated rating (IR) with the pre-selection of the variables through a statistical procedure that takes into account the characteristics of risk and greater heterogeneity of the banks. A Vector Autoregressive Model (VAR) is only a first simple application proposal.

Integrating Industrial and Financial Analysis into a Rating Methodology for Corporate Risk Detection: The Case of the Vicenza Manufacturing Firms

The need to innovate rating methodology toward an integrated approach is crucial in the Italian financial contest. At present, the banking system and the economic actors are unable to create effective and efficient information flows to react to crisis. Banks weakness derives from the adopted rating models which are mainly based on credit tendencies. They produce cyclical effects on credit availability and are not able to anticipate anti-cyclical firms’ trends. The separation between financial and industrial analysis might be a driver a such an inefficient flow of information. Thus, the aim of the paper is to show a framework for an original rating methodology derived from the integration of industrial and financial analysis, in order to identify best performers in crisis scenarios (i.e. anti-cyclically). Industrial analysis is based on firm heterogeneity approaches to measure three dimension of analysis: innovation, internationalization and growth. Financial analysis focuses on operational return and risks measures and develops an integrated classification of firms using standardized XBRL financial data. Further integration of the two methodologies is used to create the effective set of information needed for an original rating system based on certainty equivalent model. The case of the very competitive manufacturing firms in Vicenza was considered. Results suggest the efficacy of the proposed methodology in order to identify clusters of best performers firms in crisis scenarios and the validation test on post crisis timeframe confirm the anti-cyclical capacity of integrated rating methodology.