Generally accepted rating principles: a primer

Bank internal ratings of corporate clients are intended to quantify the expected likelihood of future borrower defaults. This paper develops a comprehensive framework for evaluating the quality of standard rating systems
Bank internal ratings of corporate clients are intended to quantify the expected likelihood of future borrower defaults. This paper develops a comprehensive framework for evaluating the quality of standard rating systems. We suggest a number of principles that ought to be met by 'good rating practice'. These 'generally accepted rating principles' are potentially relevant for the improvement of existing rating systems. They are also relevant for the development of certification standards for internal rating systems, as currently discussed in a consultative paper issued by the Bank for International Settlement in Basle, entitled 'A new capital adequacy framework'. We would very much appreciate any comments by readers that help to develop these rating standards further. Simply send us an E-mail, or give us a call.
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Metadaten
Author:Jan Pieter Krahnen, Martin Weber
URN:urn:nbn:de:hebis:30-9680
Parent Title (German):Institut für Kapitalmarktforschung (Frankfurt am Main): CFS working paper series ; No. 2000,02
Series (Serial Number):CFS working paper series (2000, 02)
Publisher:CFS
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2000
Year of first Publication:2000
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2005/06/13
Tag:banking supervision; capital adequacy ; corporate rating ; credit risk management
SWD-Keyword:Bankenaufsicht; Kreditwürdigkeit; Standardisierung; Zertifizierung
Issue:Version: 14 Febr.2000
Pagenumber:18
First Page:2
Last Page:19
Note:
First version: November 2, 1999 ; This version: February 14, 2000 ;Forthcoming: Journal of Banking and Finance
Source:CFS working paper ; 2000,02
HeBIS PPN:200112244
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:G21 Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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