دانلود مقاله ISI انگلیسی شماره 48531
عنوان فارسی مقاله

مدل سازی ارزش اقتصادی سیستم رتبه بندی اعتباری

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48531 2007 18 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Modelling the economic value of credit rating systems
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 31, Issue 1, January 2007, Pages 181–198

کلمات کلیدی
سیستم امتیاز - روش کوهورت - بازل - مقررات بانکی - سرمایه مورد نیاز - احتمال پیش فرض - کژگزینی
پیش نمایش مقاله
پیش نمایش مقاله مدل سازی ارزش اقتصادی سیستم رتبه بندی اعتباری

چکیده انگلیسی

In this paper we develop a model of the economic value of credit rating systems. 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. An improvement of the statistical power of a rating system decreases the potential effects of adverse selection, and, combined with meeting several qualitative standards, decreases the amount of regulatory capital requirements. As a consequence, many banks have to make investment decisions where they have to consider the costs and the potential benefits of improving their rating systems. In our model the quality of a rating system depends on several parameters such as the accuracy of forecasting individual default probabilities and the rating class structure. We measure effects of adverse selection in a competitive one-period framework by parameterizing customer elasticity. Capital requirements are obtained by applying the current framework released by the Basel Committee on Banking Supervision. Results of a numerical analysis indicate that improving a rating system with low accuracy to medium accuracy can increase the annual rate of return on a portfolio by 30–40 bp. This effect is even stronger for banks operating in markets with high customer elasticity and high loss rates. Compared to the estimated implementation costs banks could have a strong incentive to invest in their rating systems. The potential of reduced capital requirements on the portfolio return is rather weak compared to the effect of adverse selection.

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