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Special Issue On Credit Ratings And The Proposed New Bis Guidelines On Capital Adequacy For Bank Credit Assets
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Book Synopsis Special Issue on Credit Ratings and the Proposed New BIS Guidelines on Capital Adequacy for Bank Credit Assets by : Edward I. Altman
Download or read book Special Issue on Credit Ratings and the Proposed New BIS Guidelines on Capital Adequacy for Bank Credit Assets written by Edward I. Altman and published by . This book was released on 2001 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Credit ratings and the proposed new BIS guidelines on capital adequacy for bank credit assets by : Edward I. Altman
Download or read book Credit ratings and the proposed new BIS guidelines on capital adequacy for bank credit assets written by Edward I. Altman and published by . This book was released on 2001 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Ratings, Rating Agencies and the Global Financial System by : Giovanni Majnoni
Download or read book Ratings, Rating Agencies and the Global Financial System written by Giovanni Majnoni and published by Springer Science & Business Media. This book was released on 2002-08-31 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The business of credit ratings began in the United States in the early 1900s. Over time, credit ratings have gradually taken on an expanding role, both in the United States and abroad and in official financial market regulation as well as in private capital market decisions. However, in 1999 the Bank for International Settlements (through its Committee on Banking Supervision) proposed rule changes that would provide an explicit role for credit ratings in determining a bank's required regulatory risk capital. Once implemented, this BIS proposal (often referred to as Basel 2) would vastly elevate the importance of credit ratings by linking the required measure of bank capital to the credit rating of the bank's obligors. With these regulatory changes under active discussion, research into the role for ratings and rating agencies in the global financial system is particularly apropos. Ratings, Rating Agencies and the Global Financial System brings together the research of economists at New York University and the University of Maryland, along with those from the private sector, government bodies, and other universities. The first section of the volume focuses on the historical origins of the credit rating business and its present day industrial organization structure. The second section presents several empirical studies crafted largely around individual firm-level or bank-level data. These studies examine (a) the relationship between ratings and the default and recovery experience of corporate borrowers, (b) the comparability of credit ratings made by domestic and foreign rating agencies, and (c) the usefulness of financial market indicators for rating banks, among other topics. In the third section, the record of sovereign credit ratings in predicting financial crises and the reaction of financial markets to changes in credit ratings is examined. The final section of the volume emphasizes policy issues now facing regulators and credit rating agencies.
Book Synopsis Revisiting Risk-Weighted Assets by : Vanessa Le Leslé
Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Book Synopsis Managing Credit Risk by : John B. Caouette
Download or read book Managing Credit Risk written by John B. Caouette and published by John Wiley & Sons. This book was released on 1998-11-03 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first full analysis of the latest advances in managing credit risk. "Against a backdrop of radical industry evolution, the authors of Managing Credit Risk: The Next Great Financial Challenge provide a concise and practical overview of these dramatic market and technical developments in a book which is destined to become a standard reference in the field." -Thomas C. Wilson, Partner, McKinsey & Company, Inc. "Managing Credit Risk is an outstanding intellectual achievement. The authors have provided investors a comprehensive view of the state of credit analysis at the end of the millennium." -Martin S. Fridson, Financial Analysts Journal. "This book provides a comprehensive review of credit risk management that should be compulsory reading for not only those who are responsible for such risk but also for financial analysts and investors. An important addition to a significant but neglected subject." -B.J. Ranson, Senior Vice-President, Portfolio Management, Bank of Montreal. The phenomenal growth of the credit markets has spawned a powerful array of new instruments for managing credit risk, but until now there has been no single source of information and commentary on them. In Managing Credit Risk, three highly regarded professionals in the field have-for the first time-gathered state-of-the-art information on the tools, techniques, and vehicles available today for managing credit risk. Throughout the book they emphasize the actual practice of managing credit risk, and draw on the experience of leading experts who have successfully implemented credit risk solutions. Starting with a lucid analysis of recent sweeping changes in the U.S. and global financial markets, this comprehensive resource documents the credit explosion and its remarkable opportunities-as well as its potentially devastating dangers. Analyzing the problems that have occurred during its growth period-S&L failures, business failures, bond and loan defaults, derivatives debacles-and the solutions that have enabled the credit market to continue expanding, Managing Credit Risk examines the major players and institutional settings for credit risk, including banks, insurance companies, pension funds, exchanges, clearinghouses, and rating agencies. By carefully delineating the different perspectives of each of these groups with respect to credit risk, this unique resource offers a comprehensive guide to the rapidly changing marketplace for credit products. Managing Credit Risk describes all the major credit risk management tools with regard to their strengths and weaknesses, their fitness to specific financial situations, and their effectiveness. The instruments covered in each of these detailed sections include: credit risk models based on accounting data and market values; models based on stock price; consumer finance models; models for small business; models for real estate, emerging market corporations, and financial institutions; country risk models; and more. There is an important analysis of default results on corporate bonds and loans, and credit rating migration. In all cases, the authors emphasize that success will go to those firms that employ the right tools and create the right kind of risk culture within their organizations. A strong concluding chapter integrates emerging trends in the financial markets with the new methods in the context of the overall credit environment. Concise, authoritative, and lucidly written, Managing Credit Risk is essential reading for bankers, regulators, and financial market professionals who face the great new challenges-and promising rewards-of credit risk management.
Book Synopsis An Analysis and Critique of the Bis Proposal on Capital Adequacy and Ratings by : Edward I. Altman
Download or read book An Analysis and Critique of the Bis Proposal on Capital Adequacy and Ratings written by Edward I. Altman and published by . This book was released on 2008 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper has examined two specific aspects of stage 1 of the (BIS's) Bank for International Settlement's proposed reforms to the 8% risk-based capital ratio. We argue that relying on quot;traditionalquot; agency ratings could produce cyclically lagging rather leading capital requirements, resulting in an enhanced rather than reduced degree of instability in the banking and financial system. Despite this possible shortcoming, we believe that sensible risk based weighting of capital requirements is a step in the right direction. The current risk based bucketing proposal, which is tied to external agency ratings, or possibly to internal bank ratings, however, lacks a sufficient degree of granularity. In particular, lumping A and BBB (investment grade corporate borrowers) together with BB and B (below investment grade borrowers) severely misprices risk within that bucket and calls, at a minimum, for that bucket to be split into two. We examine the default loss experience on corporate bonds for the period 1981-1999 and propose a revised weighting system which more closely resembles the actual loss experience on credit assets.
Book Synopsis Banks’ Adjustment to Basel III Reform by : Michal Andrle
Download or read book Banks’ Adjustment to Basel III Reform written by Michal Andrle and published by International Monetary Fund. This book was released on 2017-02-20 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper seeks to identify strategies of commercial banks in response to higher capital requirements of Basel III reform and its phase-in. It focuses on a sample of nine EU emerging market countries and picks up 5 largest banks in each country assessing their response. The paper finds that all banking sectors raised CAR ratios mainly through retained earnings. In countries where the banking sector struggled with profitability, banks have resorted to issuance of new equity or shrunk the size of their balance sheets to meet the higher capital-adequacy requirements. Worries echoed at the early stage of Basel III compilation, namely that commercial banks would shrink their balance sheet by reducing their lending to meet stricter capital requirements, did materialize only in banks struggling with profitability.
Book Synopsis How the Proposed Basel Guidelines on Rating-agency Assessments Would Affect Developing Countries by : Giovanni Ferri
Download or read book How the Proposed Basel Guidelines on Rating-agency Assessments Would Affect Developing Countries written by Giovanni Ferri and published by World Bank Publications. This book was released on 2000 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Basel Committee has proposed linking capital asset requirements for banks to the banks' private sector ratings. Doing so would reduce the capital requirements for banks that lend prudently in high-income countries; the same incentives would not apply in developing countries.
Book Synopsis Credit Ratings and the Bis Reform Agenda by : Edward I. Altman
Download or read book Credit Ratings and the Bis Reform Agenda written by Edward I. Altman and published by . This book was released on 2008 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors are the Max L. Heine and John M. Schiff Professors of Finance, Stern School of Business, NYU. This is an updated and revised paper from the authors report on quot;An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings,quot; (submitted to the BIS and published in the Journal of Banking amp; Finance, Vol. 25, #1, January, 2001). The authors wish to thank Sreedar Bharath for his computational assistance and Robyn Vanterpool of the NYU Salomon Center for her coordination.This paper was first prepared for the NYU Salomon Center/University of Maryland research project on quot;The Role of Credit Reporting Systems in the International Economy,quot; sponsored by the Center for International Political Economy. It was prepared for the project s conference in Washington D.C. on March 1-2, 2001 at the headquarters of the World Bank.
Book Synopsis U.S. Implementation of the Basel Capital Regulatory Framework by : Darryl E. Getter
Download or read book U.S. Implementation of the Basel Capital Regulatory Framework written by Darryl E. Getter and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This report summarizes the higher capital requirements for U.S. banks regulated for safety and soundness.
Book Synopsis Capital Adequacy by : Andrew Canning
Download or read book Capital Adequacy written by Andrew Canning and published by . This book was released on 1988 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the capital and asset risk-weight criteria, proposed by BIS Committee on Banking Regulations and Supervisory Practices (the Basle Committee).
Book Synopsis The Basle Committee's Proposals for Revised Capital Standards by : Andrew J. Cornford
Download or read book The Basle Committee's Proposals for Revised Capital Standards written by Andrew J. Cornford and published by . This book was released on 2000 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Basle Capital Accord of 1988 was the outcome of an initiative to develop more internationally uniform prudential standards for the capital required for banks' credit risks. The objectives of the Accord were not only to strengthen the international banking system but also to promote convergence of national capital standards, thus removing competitive inequalities among banks resulting from differences on this front. The key features of this Accord were a common measure of qualifying capital, a common framework for the valuation of bank assets in accordance with their associated credit risks (including those classified as off-balance-sheet), and a minimum level of capital determined by a ratio of 8 per cent of qualifying capital to aggregate risk-weighted assets. The 1988 Basle Agreement was designed to apply to the internationally active banks of member countries of the Basle Committee on Banking Supervision but its impact was rapidly felt more widely and by 1999 it formed part of the regime of prudential regulation not only for international but also for strictly domestic banks in more than 100 countries. From its inception the 1988 Basle Accord was the subject of criticisms directed at features such as its failure to make adequate allowance for the degree of reduction in risk exposure achievable through diversification, at the possibility that it would lead banks to restrict their lending, and at its arbitrary and undiscriminating calibration of certain credit risks. In the aftermath of the East Asian crisis other issues of special interest to developing countries also became a focus of attention: firstly, the Accord's effectiveness in contributing to financial stability in developing countries; and, secondly, the incentives which the Accord was capable of providing to short-term interbank lending, a significant element of the volatile capital movements perceived as having contributed to the crisis.
Book Synopsis Usability of Bank Capital Buffers: The Role of Market Expectations by : José Abad
Download or read book Usability of Bank Capital Buffers: The Role of Market Expectations written by José Abad and published by International Monetary Fund. This book was released on 2022-01-28 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following the COVID shock, supervisors encouraged banks to use capital buffers to support the recovery. However, banks have been reluctant to do so. Provided the market expects a bank to rebuild its buffers, any draw-down will open up a capital shortfall that will weigh on its share price. Therefore, a bank will only decide to use its buffers if the value creation from a larger loan book offsets the costs associated with a capital shortfall. Using market expectations, we calibrate a framework for assessing the usability of buffers. Our results suggest that the cases in which the use of buffers make economic sense are rare in practice.
Book Synopsis Financial Soundness Indicators by : International Monetary Fund
Download or read book Financial Soundness Indicators written by International Monetary Fund and published by International Monetary Fund. This book was released on 2006-04-04 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Soundness Indicators (FSIs) are measures that indicate the current financial health and soundness of a country's financial institutions, and their corporate and household counterparts. FSIs include both aggregated individual institution data and indicators that are representative of the markets in which the financial institutions operate. FSIs are calculated and disseminated for the purpose of supporting macroprudential analysis--the assessment and surveillance of the strengths and vulnerabilities of financial systems--with a view to strengthening financial stability and limiting the likelihood of financial crises. Financial Soundness Indicators: Compilation Guide is intended to give guidance on the concepts, sources, and compilation and dissemination techniques underlying FSIs; to encourage the use and cross-country comparison of these data; and, thereby, to support national and international surveillance of financial systems.
Download or read book Journal of Banking & Finance written by and published by . This book was released on 2001 with total page 1332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Credit Risk Management In and Out of the Financial Crisis by : Anthony Saunders
Download or read book Credit Risk Management In and Out of the Financial Crisis written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2010-04-16 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
