A critique on the proposed use of external sovereign credit ratings in Basel II
- 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.
Verfasserangaben: | Roman KräusslORCiDGND |
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URN: | urn:nbn:de:hebis:30-10283 |
Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,23 |
Schriftenreihe (Bandnummer): | CFS working paper series (2003, 23) |
Dokumentart: | Arbeitspapier |
Sprache: | Englisch |
Jahr der Fertigstellung: | 2003 |
Jahr der Erstveröffentlichung: | 2003 |
Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Datum der Freischaltung: | 13.06.2005 |
Freies Schlagwort / Tag: | Basel II; Credit Ratings; Sovereign Risk |
GND-Schlagwort: | Schwellenländer; Länderrating; Länderrisiko; Standardisierung; Zertifizierung; Emerging Market; Kritik; Eigenkapitalgrundsätze; Basler Eigenkapitalvereinbarung, 2001; Basler Eigenkapitalvereinbarung, 2010; Basler Eigenkapitalvereinbarung <1988>; Börsenkrach; Finanzkrise |
Ausgabe / Heft: | Version August 2003 |
HeBIS-PPN: | 22191739X |
Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Lizenz (Deutsch): | Deutsches Urheberrecht |