Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2003. "Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies," Working Paper Series 155, Sveriges Riksbank (Central Bank of Sweden).
References listed on IDEAS
- Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 3-98, Wharton School Rodney L. White Center for Financial Research.
- Mark Carey, 2001.
"Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements,"
NBER Chapters, in: Prudential Supervision: What Works and What Doesn't, pages 197-232,
National Bureau of Economic Research, Inc.
- Mark S. Carey, 2000. "Dimensions of credit risk and their relationship to economic capital requirements," Finance and Economics Discussion Series 2000-18, Board of Governors of the Federal Reserve System (U.S.).
- Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
- Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2005.
"Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 43-75, October.
- Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2004. "Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Working Paper Series 162, Sveriges Riksbank (Central Bank of Sweden).
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2001. "Prototype risk rating system," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 47-95, January.
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000.
"Stability of rating transitions,"
Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
- Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Stability of ratings transitions," Bank of England working papers 133, Bank of England.
- Loretta J. Mester & Leonard I. Nakamura & Micheline Renault, 2007.
"Transactions Accounts and Loan Monitoring,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 529-556.
- Loretta J. Mester & Leonard I. Nakamura & Micheline Renault, 2004. "Transactions accounts and loan monitoring," Working Papers 04-20, Federal Reserve Bank of Philadelphia.
- Loretta J. Mester & Leonard I. Nakamura, 2005. "Transactions accounts and loan monitoring," Working Papers 05-14, Federal Reserve Bank of Philadelphia.
- Dietsch, Michel & Petey, Joel, 2002. "The credit risk in SME loans portfolios: Modeling issues, pricing, and capital requirements," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 303-322, March.
- Leonard I. Nakamura & Kasper Roszbach, 2010.
"Credit ratings and bank monitoring ability,"
Working Papers
10-21, Federal Reserve Bank of Philadelphia.
- Leonard I. Nakamura & Kasper Roszbach, 2013. "Credit ratings and bank monitoring ability," Working Papers 13-21, Federal Reserve Bank of Philadelphia.
- Nakamura, L.I. & Roszbach, K., 2010. "Credit Ratings and Bank Monitoring Ability," Discussion Paper 2010-37S, Tilburg University, Center for Economic Research.
- Nakamura, L.I. & Roszbach, K., 2010. "Credit Ratings and Bank Monitoring Ability," Other publications TiSEM 851b3292-b85c-48fe-a4af-f, Tilburg University, School of Economics and Management.
- Nakamura, L.I. & Roszbach, K., 2010. "Credit Ratings and Bank Monitoring Ability," Other publications TiSEM c396197f-86a2-4c2a-9721-8, Tilburg University, School of Economics and Management.
- Poon, Winnie P. H., 2003. "Are unsolicited credit ratings biased downward?," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 593-614, April.
- Carey, Mark & Hrycay, Mark, 2001.
"Parameterizing credit risk models with rating data,"
Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
- Mark S. Carey & Mark Hrycay, 2000. "Parameterizing credit risk models with rating data," Finance and Economics Discussion Series 2000-47, Board of Governors of the Federal Reserve System (U.S.).
- repec:bla:jfinan:v:53:y:1998:i:4:p:1389-1413 is not listed on IDEAS
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
- Estrella, Arturo, 2004. "The cyclical behavior of optimal bank capital," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1469-1498, June.
- Altman, Edward I., 1998. "The importance and subtlety of credit rating migration," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1231-1247, October.
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
- Douglas W. Diamond, 1984. "Financial Intermediation and Delegated Monitoring," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 51(3), pages 393-414.
- repec:bla:jfinan:v:44:y:1989:i:4:p:909-22 is not listed on IDEAS
- Altman, Edward I. & Saunders, Anthony, 2001.
"An analysis and critique of the BIS proposal on capital adequacy and ratings,"
Journal of Banking & Finance, Elsevier, vol. 25(1), pages 25-46, January.
- Edward Altman & Anthony Saunders, 2000. "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-084, New York University, Leonard N. Stern School of Business-.
- Marshall E. Blume & Felix Lim & A. Craig MacKinlay, "undated". "The Declining Credit Quality of US Corporate Debt: Myth or Reality?," Rodney L. White Center for Financial Research Working Papers 03-98, Wharton School Rodney L. White Center for Financial Research.
- Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
- Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
- Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
- Calem, Paul S. & LaCour-Little, Michael, 2004. "Risk-based capital requirements for mortgage loans," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 647-672, March.
- Treacy, William F. & Carey, Mark, 2000. "Credit risk rating systems at large US banks," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 167-201, January.
- repec:bla:jfinan:v:53:y:1998:i:4:p:1363-1387 is not listed on IDEAS
- Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977. "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 29-54, June.
- repec:fth:pennfi:67 is not listed on IDEAS
- Cantor, Richard & Packer, Frank, 1997. "Differences of opinion and selection bias in the credit rating industry," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1395-1417, October.
- Loffler, Gunter, 2004. "Ratings versus market-based measures of default risk in portfolio governance," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2715-2746, November.
- Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2005.
"Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 43-75, October.
- Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2004. "Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Working Paper Series 162, Sveriges Riksbank (Central Bank of Sweden).
- Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
- Grunert, Jens & Norden, Lars & Weber, Martin, 2005.
"The role of non-financial factors in internal credit ratings,"
Journal of Banking & Finance, Elsevier, vol. 29(2), pages 509-531, February.
- Weber, Martin & Grunert, Jens & Norden, Lars, 2002. "The Role of Non-financial Factors in Internal Credit Ratings," CEPR Discussion Papers 3415, C.E.P.R. Discussion Papers.
- Manzoni, Katiuscia, 2004. "Modeling Eurobond credit ratings and forecasting downgrade probability," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 277-300.
- Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
- Van Laere, Elisabeth & Baesens, Bart, 2010. "The development of a simple and intuitive rating system under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 500-510, June.
- Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden).
- Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
- Patrycja Chodnicka-Jaworska, 2018. "Banks credit ratings – is the size of the credit rating agency important?," Faculty of Management Working Paper Series 32018, University of Warsaw, Faculty of Management.
- Carling, Kenneth & Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2007. "Corporate credit risk modeling and the macroeconomy," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 845-868, March.
- Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance 0505020, University Library of Munich, Germany, revised 18 Nov 2005.
- Leonard I. Nakamura & Kasper Roszbach, 2010.
"Credit ratings and bank monitoring ability,"
Working Papers
10-21, Federal Reserve Bank of Philadelphia.
- Leonard I. Nakamura & Kasper Roszbach, 2013. "Credit ratings and bank monitoring ability," Working Papers 13-21, Federal Reserve Bank of Philadelphia.
- Nakamura, L.I. & Roszbach, K., 2010. "Credit Ratings and Bank Monitoring Ability," Discussion Paper 2010-37S, Tilburg University, Center for Economic Research.
- Nakamura, L.I. & Roszbach, K., 2010. "Credit Ratings and Bank Monitoring Ability," Other publications TiSEM 851b3292-b85c-48fe-a4af-f, Tilburg University, School of Economics and Management.
- Nakamura, L.I. & Roszbach, K., 2010. "Credit Ratings and Bank Monitoring Ability," Other publications TiSEM c396197f-86a2-4c2a-9721-8, Tilburg University, School of Economics and Management.
- Ying Zhou & Xia Lin & Guotai Chi & Peng Jin & Mengtong Li, 2024. "EWT‐SMOTE to improve default prediction performance in imbalanced data: Analysis of Chinese data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 615-643, April.
- Eleimon Gonis & Salima Paul & Jon Tucker, 2012. "Rating or no rating? That is the question: an empirical examination of UK companies," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 709-735, September.
- Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Florez-Lopez, Raquel, 2007. "Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1488-1512, December.
- Ruey-Ching Hwang, 2013. "Forecasting credit ratings with the varying-coefficient model," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1947-1965, December.
- Alexandr Karminsky & Anatoly Peresetsky, 2009. "Ratings as Measure of Financial Risk: Evolution, Function and Usage," Journal of the New Economic Association, New Economic Association, issue 1-2, pages 86-102.
- Shen, Chung-Hua & Huang, Yu-Li & Hasan, Iftekhar, 2012.
"Asymmetric benchmarking in bank credit rating,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 171-193.
- Shen, Chung-Hua & Huang, Yu-Li & Hasan, Iftekhar, 2012. "Asymmetric benchmarking in bank credit rating," Bank of Finland Research Discussion Papers 13/2012, Bank of Finland.
- Balios, Dimitris & Thomadakis, Stavros & Tsipouri, Lena, 2016. "Credit rating model development: An ordered analysis based on accounting data," Research in International Business and Finance, Elsevier, vol. 38(C), pages 122-136.
More about this item
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:30:y:2006:i:7:p:1899-1926. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.