Corporate Credit Analysis and AI: Advancing the Rating System at a Central Bank

This book presents cutting-edge methodologies, including AI techniques, for corporate credit analysis as developed for the in-house credit assessment system (ICAS) of Banca d’Italia. The first part illustrates the methods, applications and use cases of the existing system, that is employed to evaluate a large sample of Italian non-financial companies. The second part presents the rating systems in use at commercial banks and provides a benchmarking exercise of the latter systems against the ratings produced by ICAS. The third part presents new developments of the system, including the evaluation of climate transition risk, climate physical risk, social and governance factors, cyber risk, sentiment analysis. The book illustrates all state-of-the-art AI applications developed for ICAS, providing practical examples and empirical results.