Artikel
Bank credit risk management and rating migration analysis on the business cycle
Credit risk measurement remains a critical field of top priority in banking finance, directly implicated in the recent global financial crisis. This paper examines the dynamic linkages between credit risk migration due to rating shifts and prevailing macroeconomic conditions, reflected in alternative business cycle states. An innovative empirical methodology applies to bank internal rating data, under different economic scenarios and investigates the implications of credit risk quality shifts for risk rating transition matrices. The empirical findings are useful and critical for banks to align to Basel guidelines in relation to core capital requirements and risk-weighted assets in the underlying loan portfolio.
- Sprache
-
Englisch
- Erschienen in
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 2 ; Year: 2014 ; Issue: 1 ; Pages: 122-143 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
Financial Econometrics
Institutions and the Macroeconomy
Business Fluctuations; Cycles
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
credit rating migration
business cycles
stress testing
Basel guidelines
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gavalas, Dimitris
Syriopoulos, Theodore
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2014
- DOI
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doi:10.3390/ijfs2010122
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Gavalas, Dimitris
- Syriopoulos, Theodore
- MDPI
Entstanden
- 2014
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