2002 | OriginalPaper | Buchkapitel
Discussion: Altman and Saunders on Relative Credit Risk & Carey on Absolute Credit Risk
verfasst von : Richard J. Herring
Erschienen in: Ratings, Rating Agencies and the Global Financial System
Verlag: Springer US
Enthalten in: Professional Book Archive
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Each of these excellent papers makes imaginative use of data reflecting actual credit loss experience to illuminate different features of the Basel Committee’s new proposal for risk-adjusted capital requirements (Basel II). Altman and Saunders (A&S, 2002) use default data on publicly traded bonds to investigate the relative risk weights for credit risk. Carey (2002) uses similar data over historical credit cycles to calibrate a model that can gauge whether absolute level of capital requirements is appropriate. I will review each contribution in turn and conclude with some additional questions about the new Basel proposal. But first, a bit of background about how international capital requirements have evolved.