TY  - UNPD
A1  - Kräussl, Roman
T1  - A critique on the proposed use of external sovereign credit ratings in Basel II
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,23
N2  - This paper deals with the proposed use of sovereign credit ratings in the "Basel Accord on Capital Adequacy" (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of international bank credit flows: the impact on capital costs and the volatility of credit supply across the risk spectrum of borrowers. The empirical findings cast doubt on the usefulness of credit ratings in determining commercial banks' capital adequacy ratios since the standardized approach to credit risk would lead to more divergence rather than convergence between investment-grade and speculative-grade borrowers. This conclusion is based on the lateness and cyclical determination of credit rating agencies' sovereign risk assessments and the continuing incentives for short-term rather than long-term interbank lending ingrained in the proposed Basel II framework.
T3  - CFS working paper series - 2003, 23 
KW  - Sovereign Risk
KW  - Credit Ratings
KW  - Basel II
KW  - Schwellenländer
KW  - Länderrating
KW  - Länderrisiko
KW  - Standardisierung
KW  - Zertifizierung
KW  - Emerging Market
KW  - Kritik
KW  - Eigenkapitalgrundsätze
KW  - Basler Eigenkapitalvereinbarung, 2001
KW  - Basler Eigenkapitalvereinbarung, 2010
KW  - Basler Eigenkapitalvereinbarung <1988>
KW  - Börsenkrach
KW  - Finanzkrise
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4458
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10283
IS  - Version August 2003
ER  -