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Risk-weighting under Standardised Approach of Computation of Capital for Credit Risk in Basel Framework – An Analysis of Default Experience of Credit Rating Agencies in India

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  • Ajay Kumar Choudhary
  • B. Nethaji
  • Anirban Basu

Abstract

The paper attempts to find out whether the credit risk regulatory capital of Indian banks is commensurate with the default experience associated with ratings assigned by the Indian rating agencies. The paper also compares the relative assessment standards of the rating agencies, accredited by the Reserve Bank, in terms of ratings assigned to common borrowers and the time taken for the rated borrowers to default.

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  • Ajay Kumar Choudhary & B. Nethaji & Anirban Basu, 2017. "Risk-weighting under Standardised Approach of Computation of Capital for Credit Risk in Basel Framework – An Analysis of Default Experience of Credit Rating Agencies in India," Working Papers id:11982, eSocialSciences.
    • Handle: RePEc:ess:wpaper:id:11982
    Note: Institutional Papers
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    References listed on IDEAS

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    1. Becker, Bo & Milbourn, Todd, 2011. "How did increased competition affect credit ratings?," Journal of Financial Economics, Elsevier, vol. 101(3), pages 493-514, September.
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