RaOPL - Rating Operating Project Loan: research of a model to evaluate an NPL risk indicator

The NPL – nonperforming loan – issue in Italy is a direct effect of the prolonged recession that the country is undergoing. The Italian bank system reacted relatively well to the US collapse in 2008, but it was a significant circumstance to start the increase on NPLs flow due customer’s financial deterioration. Beside political and structural issues that disable the NPL market flow, the banks management doesn’t have a proper definition on how to deal with their NPL portfolio. The model described in this document, the RaOPL (Rating Operating Project Loans), is created with the goal to develop an experimental model for the generation of Rating related to the NPL that has been put on auctions in this scenario. The participation in the development and analysis of the model was achieved as a support of the work assignment in the Fabrizio Massey SpA. Therefore, this thesis aims on presenting and put into evaluation a model, developed to rate real estate assets related to non-performing loans (NPLs), denominated RaOPL (Rating Operating Project Loans). This model is defined as a synthetic indicator resulting from a procedural and documental model, which measures the risks related to NPLs. Established that goal, this thesis is divided in six main parts. Initially, a better understanding on the NPL market and of the rating system is the appropriate way of to tackle suck analysis. After that theoretical introduction, it is possible to present the model with a better overview of its intention and properly evaluate its performance.