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...

This study is an attempt to construct and test a distress classification model for Korean companies. Utilizing a sample of 34 distressed firms from the most recent 1990-1993 period and a matched (by industry and year) sample of non-failed firms, we observe the classification accuracy of two...

A number of banks have recently undertaken a reassessment of their credit-lending process. The banksacirc;not;quot; endeavors coincided with the efforts of a small, but growing number of vendors who have developed systems to assess both public and private corporations. The purpose of this article...