Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78094
Authors: 
Ewert, Ralf
Szczesny, Andrea
Year of Publication: 
2001
Series/Report no.: 
CFS Working Paper 2001/05
Abstract: 
This paper uses a unique data set from credit files of six leading German banks to provide some empirical insights into their rating systems used to classify corporate borrowers. On the basis of the New Basle Capital Accord, which allows banks to use their internal rating systems to compute their minimum capital requirements, the relations between potential risk factors, rating decisions and the default probabilities are analysed to answer the question whether German banks are ready for the internal ratings-based approach. The results suggests that the answer is not affirmative at this stage. We find internal rating systems not comparable over banks and furthermore we reveal differences between credit rating determining and default probability determining factors respectively.
Subjects: 
Default probability
Credit rating
Bank regulation
JEL: 
G21
G33
G38
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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