The risk-weights in the New Basel Capital Accord: Lessons from bond spreads based on a simple structural model
Tài liệu tham khảo
Altman, 2001, An analysis and critique of the BIS proposal on capital adequacy and ratings, J. Banking Finance, 25, 25, 10.1016/S0378-4266(00)00116-3
Ammer, J., Packer, F., 2000. How consistent are credit ratings? A geographic and sectoral analysis of default risk. International Finance Discussion Papers, # 668. Board of Governors of the Federal Reserve System. June
Basel Committee on Banking Supervision, 2000. Credit ratings and complimentary sources of credit quality information. Working paper 3. August
Basel Committee on Banking Supervision, 2004. International convergence of capital measurement and capital standards: A revised framework. Bank of International Settlements. June
Berger, 1995, The role of capital in financial institutions, J. Banking Finance, 19, 340, 10.1016/0378-4266(95)00002-X
Cantor, R., Falkenstein, E., 2001. Testing for rating consistency in annual default rates. Moody's Investors Service, New York
Crabbe, 1995, Does the liquidity of a debt issue increase with its size? Evidence from corporate and medium-term note markets, J. Finance, 50, 10.2307/2329332
Delianedis, G., Geske, R., 1999. Credit risk and risk-neutral default probabilities: Information about rating migrations and defaults. Mimeo. The Anderson School at UCLA
Elton, E.J., Gruber, M.J., Agrawal, D., Mann, C., 2000. Factors affecting the valuation of corporate bonds. Mimeo
Flannery, 1991, Pricing deposit insurance when the insurer measures bank risk with error, J. Banking Finance, 15, 975, 10.1016/0378-4266(91)90109-Y
Fons, 1994, Using default rates to model the term structure of credit risk, Finan. Analysts J., 25, 10.2469/faj.v50.n5.25
Gordy, 2003, A risk-factor model foundation for ratings-based bank capital rules, J. Finan. Intermediation, 12, 199, 10.1016/S1042-9573(03)00040-8
Gupton, 1997
Hancock, 2001, Using subordinated debt to monitor bank holding companies: Is it feasible?, J. Finan. Services Res., 20, 10.1023/A:1012460007340
Levich, 2001
Melnik, 2003, Debt issue costs and issue characteristics in the market for US dollar denominated international bonds, Europ. Finance Rev., 7, 277, 10.1023/A:1024583827989
Merton, 1974, On the pricing of corporate debt: The risk structure of interest rates, J. Finance, 29, 449, 10.2307/2978814
Merton, 1977, An analytical derivation of the cost of deposit insurance and loan guarantees: An application of modern option pricing theory, J. Banking Finance, 1, 3, 10.1016/0378-4266(77)90015-2
Pennacchi, 1987, A reexamination of the over-(or under-)pricing of deposit insurance, J. Money, Credit, Banking, 19, 340, 10.2307/1992081
Perraudin, W., Taylor, A., 1999. On the consistency of ratings and bond market yields. Mimeo. November
Repullo, 2004, Loan pricing under Basel capital requirements, J. Finan. Intermediation, 13, 496, 10.1016/j.jfi.2004.07.001
Standard and Poor's, 2001. Ratings performance 2000—Default, transition, recovery, and spreads. Standard & Poor's, New York
Standard and Poor's, 2005. Corporate ratings criteria. Standard & Poor's, New York