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An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings

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Cited by:

  1. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323.
  2. Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi, 2017. "Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 169-191, September.
  3. Kirstein, Roland, 2002. "The new Basle Accord, internal ratings, and the incentives of banks," International Review of Law and Economics, Elsevier, vol. 21(4), pages 393-412, May.
  4. Edward Altman & Gabriele Sabato, 2005. "Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 15-42, October.
  5. Berger, Allen N. & Udell, Gregory F., 2004. "The institutional memory hypothesis and the procyclicality of bank lending behavior," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 458-495, October.
  6. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2006. "Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1899-1926, July.
  7. Seth B. Carpenter & William C. Whitesell & Egon Zakrajšek, 2001. "Capital requirements, business loans, and business cycles: an empirical analysis of the standardized approach in the new Basel Capital Accord," Finance and Economics Discussion Series 2001-48, Board of Governors of the Federal Reserve System (U.S.).
  8. Nachane, D M & Ray, Partha & Ghosh, Saibal, 2005. "The new Basel capital accord: Rationale, design and tentative implications for India," MPRA Paper 17426, University Library of Munich, Germany.
  9. Gunther Capelle-Blancard & Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi & Bert Scholtens, 2016. "Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries," Working Papers hal-01401718, HAL.
  10. Caporale, Guglielmo Maria & Matousek, Roman & Stewart, Chris, 2012. "Ratings assignments: Lessons from international banks," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1593-1606.
  11. Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
  12. Saibal Ghosh, 2008. "Capital requirements, bank behavior and monetary policy: A theoretical analysis with an empirical application to India," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 43(2), pages 205-227, December.
  13. Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006. "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 399-428, March.
  14. Craig Furfine, 2001. "Bank Portfolio Allocation: The Impact of Capital Requirements, Regulatory Monitoring, and Economic Conditions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 20(1), pages 33-56, September.
  15. Bliss, Robert, 2002. "Comments on "Credit ratings and the BIS capital adequacy reform agenda"," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 923-928, May.
  16. Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006. "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 399-428, March.
  17. Hege, Ulrich & Feess, Eberhard, 2007. "Basel II and the Value of Bank Differentiation," HEC Research Papers Series 879, HEC Paris.
  18. Resti, Andrea & Sironi, Andrea, 2007. "The risk-weights in the New Basel Capital Accord: Lessons from bond spreads based on a simple structural model," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 64-90, January.
  19. van Soest, A.H.O. & Peresetsky, A. & Karminsky, A.M., 2003. "An Analysis of Ratings of Russian Banks," Other publications TiSEM 5b60e672-da50-41be-af9c-a, Tilburg University, School of Economics and Management.
  20. Fees, Eberhard & Hege, Ulrich, 2004. "The Basel II Accord: Internal ratings and bank defferentiation," CFS Working Paper Series 2004/25, Center for Financial Studies (CFS).
  21. Patrick Van Roy, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Finance 0509014, University Library of Munich, Germany.
  22. Naďa Blahová, 2015. "Analysis of the Relation between Macroprudential and Microprudential Policy," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(1), pages 33-47.
  23. Andrea Resti & Andrea Sironi, 2005. "The Basel Committee Approach To Risk-Weights And External Ratings: What Do We Learn From Bond Spreads?," Temi di discussione (Economic working papers) 548, Bank of Italy, Economic Research and International Relations Area.
  24. Francis, William B. & Osborne, Matthew, 2012. "Capital requirements and bank behavior in the UK: Are there lessons for international capital standards?," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 803-816.
  25. Mathias Schmit, 2003. "Is Automotive Leasing a Risky Business?," Working Papers CEB 03-009.RS, ULB -- Universite Libre de Bruxelles.
  26. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2005. "Exploring interactions between real activity and the financial stance," Journal of Financial Stability, Elsevier, vol. 1(3), pages 308-341, April.
  27. Katchova, Ani L. & Barry, Peter J., 2003. "Credit Risk Models: An Application to Agricultural Lending," 2003 Regional Committee NCT-194, October 6-7, 2003; Kansas City, Missouri 132519, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  28. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2013. "Firm Default And Aggregate Fluctuations," Journal of the European Economic Association, European Economic Association, vol. 11(4), pages 945-972, August.
  29. 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.
  30. Kevin T. Jacques, 2008. "Capital shocks, bank asset allocation, and the revised Basel Accord," Review of Financial Economics, John Wiley & Sons, vol. 17(2), pages 79-91.
  31. Dziawgo Danuta, 2012. "Present and Future Position of Credit Rating," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 160-174, December.
  32. Fulop, Andras, 2006. "Feedback Effects of Rating Downgrades," ESSEC Working Papers DR 06016, ESSEC Research Center, ESSEC Business School.
  33. Maximilian J.B. Hall, 2001. "The basle Committee's proposals for a new capital adequacy assessment framework: a critique," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(217), pages 111-179.
  34. Susan K. Schroeder, 2008. "The Underpinnings Of Country Risk Assessment," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 498-535, July.
  35. Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
  36. Panagiotis K. Staikouras, 2012. "A Theoretical and Empirical Review of the EU Regulation on Credit Rating Agencies: In Search of Truth, Not Scapegoats," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(2), pages 71-155, May.
  37. Chris Terry, 2009. "The new Basel Capital Accord: A major advance at a turbulent time," Agenda - A Journal of Policy Analysis and Reform, Australian National University, College of Business and Economics, School of Economics, vol. 16(1), pages 25-44.
  38. Gaston Giordana & Ingmar Schumacher, 2012. "Macroeconomic Conditions and Leverage in Monetary Financial Institutions: Comparing European countries and Luxembourg," BCL working papers 77, Central Bank of Luxembourg.
  39. Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, University of Reading.
  40. 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.
  41. Patrick Artus, 2005. "De Bâle 1 à Bâle 2. Effets sur le marché du crédit," Revue économique, Presses de Sciences-Po, vol. 56(1), pages 77-97.
  42. Lawrence White, 2005. "Good Intentions Gone Awry: A Policy Analysis of the SEC's Regulation of the Bond Rating Industry," Working Papers 05-16, New York University, Leonard N. Stern School of Business, Department of Economics.
  43. 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).
  44. Lorenzo Sasso, 2016. "Bank Capital Structure and Financial Innovation: Antagonists or Two Sides of the Same Coin?," Journal of Financial Regulation, Oxford University Press, vol. 2(2), pages 225-263.
  45. Brana, Sophie & Lahet, Delphine, 2009. "Capital requirement and financial crisis: The case of Japan and the 1997 Asian crisis," Japan and the World Economy, Elsevier, vol. 21(1), pages 97-104, January.
  46. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
  47. Kevin T. Jacques & Lakshmi Balasubramanyan, 2011. "Risk Weights in Regulatory Capital Standards: Is It Necessary to 'Get It Right'?," NFI Working Papers 2011-WP-23, Indiana State University, Scott College of Business, Networks Financial Institute.
  48. Katalin Mérő, 2017. "The Emergence of Macroprudential Bank Regulation: A Review," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 67(3), pages 289-309, September.
  49. Reint Gropp & Anthony J. Richards, 2001. "Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What Can we Infer About Private Sector Monitoring of Bank Soundness?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(3), pages 373-398, November.
  50. Reint Gropp & Anthony J. Richards, 2001. "Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What Can we Infer About Private Sector Monitoring of Bank Soundness?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(3), pages 373-398, November.
  51. Boermans, Martijn A. & van der Kroft, Bram, 2024. "Capital regulation induced reaching for systematic yield: Financial instability through fire sales," Journal of Banking & Finance, Elsevier, vol. 158(C).
  52. Valdir Domeneghetti & Fabiano Guasti Lima, 2019. "Strategic direction re-evaluation of bank ratings in Brazil," Economics Bulletin, AccessEcon, vol. 39(2), pages 1336-1347.
  53. Bertrand Rime, 2003. "The New Basel Accord: Implications of the Co-existence between the Standardized Approach and the Internal Ratings-based Approach," Working Papers 03.05, Swiss National Bank, Study Center Gerzensee.
  54. Lawrence J. White, 2001. "The Credit Rating Industry: An Industrial Organization Analysis," Working Papers 01-02, New York University, Leonard N. Stern School of Business, Department of Economics.
  55. Jacques, Kevin T., 2008. "Capital shocks, bank asset allocation, and the revised Basel Accord," Review of Financial Economics, Elsevier, vol. 17(2), pages 79-91.
  56. Roman Kraeussl, "undated". "A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II," Working Papers 0315, University of Crete, Department of Economics.
  57. Mustapha Ammari & Ghizlane Lakhnat, 2017. "Default-implied Asset Correlation: Empirical Study for Moroccan Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 415-425.
  58. Capelle-Blancard, Gunther & Crifo, Patricia & Diaye, Marc-Arthur & Oueghlissi, Rim & Scholtens, Bert, 2019. "Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 156-169.
  59. Perli, Roberto & Nayda, William I., 2004. "Economic and regulatory capital allocation for revolving retail exposures," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 789-809, April.
  60. Dangl, Thomas & Lehar, Alfred, 2004. "Value-at-risk vs. building block regulation in banking," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 96-131, April.
  61. Richard Stanton & Nancy Wallace, 2018. "CMBS Subordination, Ratings Inflation, and Regulatory†Capital Arbitrage," Financial Management, Financial Management Association International, vol. 47(1), pages 175-201, March.
  62. Bertrand Rime, 2005. "Will Basel II Lead to a Specialization of Unsophisticated Banks on High‐Risk Borrowers?," International Finance, Wiley Blackwell, vol. 8(1), pages 29-55, March.
  63. Evanoff, Douglas D. & Wall, Larry D., 2002. "Measures of the riskiness of banking organizations: Subordinated debt yields, risk-based capital, and examination ratings," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 989-1009, May.
  64. Altman, Edward I. & Bharath, Sreedhar T. & Saunders, Anthony, 2002. "Credit ratings and the BIS capital adequacy reform agenda," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 909-921, May.
  65. Gerald P. Dwyer & Rik Hafer, 2001. "Bank failures in banking panics: Risky banks or road kill?," FRB Atlanta Working Paper 2001-13, Federal Reserve Bank of Atlanta.
  66. Lawrence J. White, 2006. "Good Intentions Gone Awry: A Policy Analysis of the SEC's Regulation of the Bond Rating Industry," NFI Policy Briefs 2006-PB-05, Indiana State University, Scott College of Business, Networks Financial Institute.
  67. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
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