IDEAS home Printed from https://ideas.repec.org/p/uts/ppaper/2005-2.html
   My bibliography  Save this paper

Rating Properties and their Implication on Basel II-Capital

Author

Abstract

The article “Rating Properties and their Implication on Basle II-Capital” with its empirical analysis presents new insights on the verification of ratings. The basic properties Association, Calibration, Discrimination and Refinement of rating forecasts are defined and measures derived within a consistent framework. It is shown that the property Refinement has an important influence on the Basel II capital since an increase in Refinement leads ceteris paribus to a lower average capital requirement.

Suggested Citation

  • Robert Rauhmeier & Harald Scheule, 2005. "Rating Properties and their Implication on Basel II-Capital," Published Paper Series 2005-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:2005-2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Robert Rauhmeier, 2006. "PD-Validation — Experience from Banking Practice," Springer Books, in: Bernd Engelmann & Robert Rauhmeier (ed.), The Basel II Risk Parameters, chapter 0, pages 307-346, Springer.
    2. C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang, 2008. "Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios," Working Papers 042008, Hong Kong Institute for Monetary Research.
    3. T. C. Wong & C. H. Hui & C. F. Lo, 2009. "Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models," Working Papers 342009, Hong Kong Institute for Monetary Research.
    4. G. Lanine & R. Vander Vennet, 2005. "Failure prediction in the Russian bank sector with logit and trait recognition models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/329, Ghent University, Faculty of Economics and Business Administration.
    5. François Coppens & Fernando Gonzáles & Gerhard Winkler, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Working Paper Research 118, National Bank of Belgium.
    6. Dirk Tasche, 2006. "Validation of internal rating systems and PD estimates," Papers physics/0606071, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uts:ppaper:2005-2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Duncan Ford (email available below). General contact details of provider: https://edirc.repec.org/data/sfutsau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.