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Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies

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Author Info
Jacobson, Tor
Linde, Jesper
Roszbach, Kasper

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Abstract

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 30 (2006)
Issue (Month): 7 (July)
Pages: 1899-1926
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Handle: RePEc:eee:jbfina:v:30:y:2006:i:7:p:1899-1926

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  1. Jesper Tor Jacobson & Kasper Roszbach Lindé, 2004. "Credit Risk Versus Capital Requirements Under Basel II: Are SME Loans and Retail Credit Really Di Erent?," Departmental Working Papers 199, Tor Vergata University, CEIS. [Downloadable!]
    Other versions:
  2. Patrick Van Roy, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Finance 0509014, EconWPA. [Downloadable!]
    Other versions:
  3. Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  4. Güttler, André & Raupach, Peter, 2008. "The impact of downward rating momentum on credit portfolio risk," Discussion Paper Series 2: Banking and Financial Studies 2008,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
  5. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland. [Downloadable!]
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This page was last updated on 2008-10-4.

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