This is an updated and revised paper from the authorsacirc;not;quot; report on acirc;not;SAn Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratingsacirc;not;? [S-CDM-00-02] (submitted to the BIS and published in the Journal of Banking amp; Finance, Vol. 25, #1, January,...

This is an updated and revised paper from the authorsacirc;not;quot; report on acirc;not;SAn Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratingsacirc;not;? [S-CDM-00-02] (submitted to the BIS and published in the Journal of Banking amp; Finance 25:1 January, 2001). This paper...

This paper has examined two specific aspects of stage 1 of the (BISacirc;not;quot;s) Bank for International Settlementacirc;not;quot;s proposed reforms to the 8% risk-based capital ratio. We arguethat relying on acirc;not;Straditionalacirc;not;? agency ratings could produce cyclically lagging rather...

This paper examines the price reaction of loans relative to bonds prior to and surrounding information intensive events, such as corporate (loan and bond) defaults, and bankruptcies using a unique dataset of daily secondary market prices of loans. Specifically, we find that risk-adjusted loan...

The year 2001 was remarkable on many fronts. For the high yield market, it was a year of crushing record numbers of defaults and distressed exchanges, combined with predictable low recovery rates. Despite these fundamental problems and the quot;flight to qualityquot; following the terrorist...

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,...

This paper discusses two of the primary motivating influences on the recent development/revisions of credit scoring models, i.e., the important implications of Basel 2 s proposed capital requirements on credit assets and the enormous amounts and rates of defaults and bankruptcies in the US in...