IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Ratings Versus Market-Based Measures of Default Risk of East Asian Banks

Listed author(s):
  • Eric Wong

    (Research Department, Hong Kong Monetary Authority)

  • Cho-Hoi Hui

    (Research Department, Hong Kong Monetary Authority)

  • Chi-fai Lo

    (Institute of Theoretical Physics and Department of Physics, The Chinese University of Hong Kong)

Registered author(s):

    This paper assesses whether agency ratings and market-based default risk measures are consistent for East Asian banks during the period 1996 to 2006. While the market-based measures are broadly consistent with the credit rating assessments for banks in developed economies, the discrepancy between ratings and the market-based measures for East Asian banks is significant. Credit ratings for East Asian banks were adjusted slowly during the onset of the Asian financial crisis. The relatively higher default risk implied by ratings during the post-crisis period is partly due to the conservatism of rating agencies and the unsolicited ratings. Discrepancies still exist after taking these two factors into account. From perspective of banking policies, the use of agency-based and market-based measures for calculating capital requirements for exposures to banks and deposit insurance premiums in East Asian economies could result in systematic differences.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Hong Kong Monetary Authority in its series Working Papers with number 0712.

    in new window

    Length: 30 pages
    Date of creation: Aug 2007
    Handle: RePEc:hkg:wpaper:0712
    Contact details of provider: Postal:
    55th Floor, Two International Finance Centre, 8 Finance Street, Central

    Phone: (852)28788261
    Fax: (852)28781892
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:hkg:wpaper:0712. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simon Chan)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.