Tesi di LAUREA SPECIALISTICA Titolo Calibrazione di un modello di rating per la gestione del rischio di credito Data 2010-12-20 Autore/i Parretta, Cristian Relatore Sgarra, C. Relatore Bonini, S. Full text non disponibile Abstract The aim of the document is to describe the working experience with Deloitte Consulting s.p.a., commenced in October 2009 and still going on now, which has represented the starting point of this thesis. The original purpose was to understand the global view of Basel II regulatory rules for banking institution, which induce financial companies to risk management activities in order to save enough resources to face default scenarios. In fact, the main scope of this regulatory system is to create a global protection for banks with respect to the crisis and consequential losses of money due to several reasons. The main division in Risk Management Theory is between credit, market and operational risk, each showing peculiar characteristics. Credit risk is strictly connected to the insolvence probability of the counterpart. Market risk is due to the volatility of financial instruments in the markets, like derivatives and options. Eventually, all the risks involved in natural disasters, systems failures, human errors or frodes are deemed operational. This thesis sets the focus upon credit risk management in banks, trying to show a concrete solution in order to prevent the default concretisation by applying a mathematical model in a statistical and financial approach. Therefore, this model has to be considered like a way to deal with the problem of risk management, which is currently one of the main issues of banks, insurance companies and financial institution in general; furthermore, this is a natural application from an engineering point of view, which finds out its own realization by using several mathematical instruments in a real contest. After a brief introduction regarding the sector of risk management and a presentation of the activity of Deloitte Consulting, the structure of the thesis presents a double segmentation. In the first part a detailed description of Basel II rules for financial institutions is shown, putting attention on both qualitative principles and quantitative methods, in order to provide a global view of the as is framework. A general overview about the main theoretical mathematical models of credit risks is provided, taking into account examples of two classical approaches which are the structural and the reduced form models. In the second part instead, the main characteristics of the project and the activities of the client bank will be provided, with respect to the need to design a mathematical model which would fit to the regulatory requests. On the other hand, in the third part of this work the interest is fully concentrated on the mathematical model: it is shown from a financial and statistical point of view, trying to present the applicative resources used in credit risk management theory. Moreover, an informatic implementation of the model is represented in this part, with its results and meanings, and of course subsequent critical considerations in an economic scenario.