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Procyclicality and the New Basel Accord – Banks’ Choice of Loan Rating System

Abstract:

The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requirements for internationally active (and other significant) banks. These will replace the relatively risk-invariant requirements in the current Accord. The new requirements for the largest bank will be based on bank ratings of the probability of default of the borrowers. There is evidence that the choice of loan ratings which are conditional on the point in the economic cycle could lead to sharp ...

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Authors


Dimitrios Tsomocos More by this author
Eva Catarineu-Rabell More by this author
Patricia Jackson More by this author
Publication date:
2005-10-05
URN:
uuid:fe1bef1a-e62a-42ab-8992-d594436a85ea
Local pid:
oai:eureka.sbs.ox.ac.uk:1864

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