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...

In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system....

# The defaulted and distressed, public and private debt markets in the United States increased enormously to a record $942 billion (face value) at the end of 2002. The market value of this increasingly attractive alternative investment segment was approximately $512 billion.# Defaulted...

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002. Our econometric univariate and multivariate models...

The role and performance of credit rating agencies are currently under debate. Several surveys conducted in the United States reveal that most investors believe that rating agencies are too slow in adjusting their ratings to changes in corporate creditworthiness. Well known is that agencies...

Surveys on the use of agency credit ratings reveal that some investors believe that rating agencies are relatively slow in adjusting their ratings. A well-accepted explanation for this perception on the timeliness of ratings is the quot;through-the-cyclequot; methodology that agencies use....

The third-quarter 2002 default rate for high yield bonds was 4.95%, based on $37.48 billion of defaults. The quarterly default rate is the highest in history, surpassing the first quarter of 1991 rate of 4.80%. One massive default, WorldCom, accounted for $28.30 billion of defaults (76%)....

This paper discusses two of the primary motivating influences on the recentdevelopment/revisions of credit scoring models, - the important implications ofBasel II s proposed capital requirements on credit assets and the enormous amountsand rates of defaults and bankruptcies in the United States...

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

The role and performance of credit rating agencies are currently under debate. Several surveys conducted in the United States reveal that most investors believe that rating agencies are too slow in adjusting their ratings to changes in corporate creditworthiness. Well known is that...