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Basel II, External Ratings and Adverse Selection

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  • Akhtar, S.
  • Bannier, C.
  • Tyrell, M.
  • Elizalde, A.
  • Janda, K.
  • Lind, G.

Abstract

This paper will describe and analyse the development of Basel II Capital Accord and will focus on the use of external ratings in the Standardized Approach in Basel II. Furthermore it will examine the problem of adverse selection which appears in Basel II as a result from the proposal for the use of external ratings in determining the risk weights in the standardized approach. The paper will also attempt to find possible solutions to the adverse selection problem by discussing two similar models, and derive implications from them.

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File URL: http://mpra.ub.uni-muenchen.de/12722/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12722.

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Date of creation: 30 Sep 2008
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Handle: RePEc:pra:mprapa:12722

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Keywords: Basel II; external ratings; adverse selection; rating agencies; standardized approach;

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  1. Abel Elizalde, 2007. "From Basel I To Basel Ii: An Analysis Of The Three Pillars," Working Papers wp2007_0704, CEMFI.
  2. Karel Janda, 2006. "Lender and Borrower as Principal and Agent," Working Papers IES 2006/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2006.
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