Jacobson, Tord; Lindé, Jesper; Roszbach, Kasper - 2003
Counterpart risk rating is at the heart of the banking business. In the new Basel II regulation, internal ratings have … been given a central role. Although much research has been done on external ratings, much less is known about banks …´ internal ratings. This paper presents new quantitative evidence on the consistency of internal ratings based on panel data from …