In this study, we empirically analyze the determinants of heterogeneity in rating assessments across different segments of the European loan market. We conduct a benchmarking analysis using rating information on European corporate obligors from nine major Austrian banks that have a large share...

The validation of credit rating systems has recently attracted particular interest both from banks and their supervisors as well as from academic research. Whereas the main interest has been focused on backtesting methods, alternative approaches such as benchmarking are of growing importance....

We suggest a new framework for the use of multi-rater information in the validation of credit rating systems, applicable in any validation process where rating information from different sources is available. As our validation framework does not rely on historical default information it appears...

In this paper we examine the influence of the granularity of a rating system on the resulting regulatory capital requirements with respect to the framework released by the Basel Committee on Banking Supervision (Basel II). We define granularity as the number of cohorts or rating classes used to...

Accurate rating systems are of key importance for banks to price and manage their loan portfolios. In this paper we analyze the choice of the rating technology in an oligopolistic banking sector. In our model the rating system estimates the probabilities of default for the individual borrowers...

In this paper we develop a model of the economic value of a credit rating system. Increasing international competition and changes in the regulatory framework driven by the Basel Committee on Banking Supervision (Basel II) called forth incentives for banks to improve their credit rating systems....