Basel II, Sovereign Ratings and Transfer Risk External versus Internal Ratings
نویسندگان
چکیده
منابع مشابه
Determinants and Impact of Sovereign Credit Ratings
n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the credit rating agencies to the obligations of central govern-ments—has increased dramatically. More governments with greater default risk and more companies domiciled in riskier host countries are borrowing in international bond markets. Although foreign government officials generally cooperate with the...
متن کاملPreliminary Draft Consistency of Internal versus External Credit Ratings and Insurance and Bank Regulatory Capital Requirements
The views expressed herein are not necessarily those of the Board of Governors, other members of its staff, or the Federal Reserve System. Thanks to Mike Zurcher and all the members of the Private Placement Committee for useful conversations and to the Society of Actuaries Credit Risk Loss Experience Study for the data.
متن کاملSovereign credit ratings, market volatility, and financial gains
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock ...
متن کاملSome Evidence on the Consistency of Banks’ Internal Credit Ratings - Workshop "Basel II: An Economic Assessment" - May 2002
This paper was prepared in cooperation with Mark McCambley and Michael Lavin of Loan Pricing Corporation (LPC). For more information about LPC's Loan Loss Database (LLD) initiatives in North America and Europe, please contact Mark McCambley at 212-489-5455 or [email protected]. The lenders participating in the LLD generously shared the LLD with the Federal Reserve on a one-time basis a...
متن کاملA process model to develop an internal rating system: Sovereign credit ratings
The Basel II capital accord encourages financial institutions to develop rating systems for assessing the risk of default of their credit portfolios in order to better calculate the minimum regulatory capital needed to cover unexpected losses. In the internal ratings based approach, financial institutions are allowed to build their own models based on collected data. In this paper, a generic pr...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.386480