TY  - UNPD
A1  - Frerichs, Hergen
A1  - Wahrenburg, Mark
T1  - Evaluating internal credit rating systems depending on bank size
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 115
N2  - Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to identify strongly inferior rating systems out-of time based on statistics that measure either the quality of ranking borrowers from good to bad, or the quality of individual default probability forecasts. Banks do not significantly improve system quality if they use credit scores instead of ratings, or logistic regression default probability estimates instead of historical data. Banks that are not able to discriminate between high- and low-risk borrowers increase their average capital requirements due to the concavity of the capital requirements function.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 115 
KW  - credit risk
KW  - credit ratings
KW  - bank regulation
KW  - Basel II
KW  - Deutschland
KW  - Kreditwürdigkeit
KW  - Bank
KW  - Kreditrisiko
KW  - Eigenkapitalgrundsätze
KW  - Basler Eigenkapitalvereinbarung, 2001
KW  - Basler Eigenkapitalvereinbarung, 2010
KW  - Basler Eigenkapitalvereinbarung <1988>
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3682
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-17892
IS  - September 2003
PB  - Univ., Fachbereich Wirtschaftswiss.
CY  - Frankfurt am Main
ER  -