The next step will be even more towards considering portfolios as a whole and taking account of the linkages between asset and liability values, the structure of the balance sheet and immunization strategies. It will be less and less common for overall risk to be calculated by adding up the risk of the individual components. Italian banks are readying themselves.
The banking groups that will use advanced internal rating methods from the outset have initiated an especially intensive interaction with the supervisory department of the Bank of Italy. Basel 2 and IAS also constitute an additional reason for adapting Italian law to the needs of a modern “regulated market economy ”.