This paper uses a simultaneous-equations model to investigate how banks from six G-10 countries adjusted their capital and their risk-weighted assets after the passage of the 1988 Basel Accord. In particular, the analysis tests whether weakly capitalized banks increased their capital or...

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

The purpose of this paper is to see whether and how G-10 banks have complied with the 1988 Basel Accord. The interest of this study lies in the fact that the standardized approach to credit risk in the New Basel Accord is conceptually similar to the 1988 agreement. However, very little is known...

This paper analyses the effect of soliciting a rating on the rating outcome of banks. This type of analysis sheds light on an important policy question, namely whether there is a difference in treatment between banks which request a rating and those which do not. Using a sample of Asian banks...

This paper focuses on the standardised approach to credit risk in Basel II. The minimum capital requirements for the corporate, interbank and sovereign loan portfolios of a representative bank in each EMU country are evaluated by means of Monte-Carlo simulations depending on the credit rating...

This paper analyses the effect of soliciting a rating on the rating outcome of banks. Using a sample of Asian banks rated by Fitch Ratings ("Fitch"), I find evidence that unsolicited ratings tend to be lower than solicited ones, after accounting for differences in observed bank characteristics....

We address a number of comparative issues relating to the performance of failure prediction models for small, private firms. We use two models provided by vendors, a model developed by the National Bank of Belgium, and the Altman Z-score model to investigate model power, the extent of...