Template-Type: ReDIF-Article 1.0

Author-Name: György Inzelt
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)
Author-Email: inzeltgy@mnb.hu

Author-Name: Gábor Szappanos
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)
Author-Email: szappanosg@mnb.hu

Author-Name: Zsolt Armai
Author-Workplace-Name: expert of FHB Nyrt.
Author-Email: armai.zsolt@t-online.hu

Title: Supervision by robust risk monitoring –
a cycle-independent Hungarian corporate
credit rating system

Abstract: International and Hungarian prudential regulation primarily tasks the supervisory
authority with controlling the supervised credit institutions’ lending policy and, in
relation to this, the internal models used in this policy. However, the crisis period
that started in 2009 demonstrated that in many cases credit institutions with the
same lending policy employ models which project significantly different capital and
risk costs when rating their clients. As a result, developing monitoring tools that
enable comparison of individual internal models and regular monitoring of the
lending practices of the individual institutions have recently gained prominence
in international supervision. This study presents a possible, simple yet stable
and readily applicable corporate monitoring framework which is in line with the
Hungarian and international regulation and best practices.

Classification-JEL: C55, C53
Keywords: modelling and analysis based on large databases, forecasting

Journal: Financial and Economic Review  
Pages: 51-78
Volume: 15
Issue: 3
Year: 2016
File-URL: http://english.hitelintezetiszemle.hu/letoltes/gyorgy-inzelt-gabor-szappanos-zsolt-armai.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:15:y:2016:i:3:p:51-78