Countdown for the New Basle Capital Accord : are German banks ready for the internal ratings-based approach?
- This paper uses a unique data set from credit files of six leading German banks to provide some empirical insights into their rating systems used to classify corporate borrowers. On the basis of the New Basle Capital Accord, which allows banks to use their internal rating systems to compute their minimum capital requirements, the relations between potential risk factors, rating decisions and the default probabilities are analysed to answer the question whether German banks are ready for the internal ratings-based approach. The results suggests that the answer is not affirmative at this stage. We find internal rating systems not comparable over banks and furthermore we reveal differences between credit rating determining and default probability determining factors respectively. Klassifikation: G21, G33, G38
| Author: | Ralf Ewert, Andrea Szczesny |
|---|---|
| URN: | urn:nbn:de:hebis:30-9825 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2001,05 |
| Series (Serial Number): | CFS working paper series (2001, 05) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2001 |
| Year of first Publication: | 2001 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/06/13 |
| Tag: | Bank regulation; Credit rating; Default probability |
| GND Keyword: | Deutschland; Eigenkapitalgrundsätze; Basler Eigenkapitalvereinbarung, 2001; Basler Eigenkapitalvereinbarung, 2010; Basler Eigenkapitalvereinbarung <1988>; Kreditrisiko; Kreditwürdigkeit; Bank |
| Source: | CFS working paper ; 2001,05 |
| HeBIS-PPN: | 201693720 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
