The expert assessment within Banca d'Italia's in-house credit assessment system

13 March 2026

Banca d'Italia today publishes 'The expert assessment within Banca d'Italia's in-house credit assessment system', the new issue of the series 'Markets, infrastructures, payment systems'.

This study investigates the role of the expert assessment - conducted by two analysts following the production of a rating based solely on the statistical model - within Banca d'Italia's in-house credit assessment system of Italian non-financial firms (ICAS). We have two aims: to document recent methodological enhancements, including the integration of climate-related risks and of sector analysis, and to provide an estimate of the contribution of the expert assessment to the rating process. The study leverages over 25,000 assessments produced by analysts between 2016 and 2022, including corporate default events. The recent methodological innovations have enhanced the transparency and consistency of the expert assessment, facilitating the integration of new risk sources. Our empirical results show that the expert assessment significantly improves both the predictive power and the discriminatory power of the full ratings obtained through ICAS, compared with the ratings based solely on the statistical model, with an increase of the AUROC of around 2 percentage points. Furthermore, the expert assessment protects the performance of ICAS, particularly during periods of macroeconomic stress.