Basel II, External Ratings and Adverse Selection

S. Akhtar, C. Bannier, M. Tyrell, A. Elizalde, K. Janda and G. Lind
Authors registered in the RePEc Author Service: Aleksandar Kushlev

MPRA Paper from University Library of Munich, Germany

Abstract: This paper will describe and analyse the development of Basel II Capital Accord and will focus on the use of external ratings in the Standardized Approach in Basel II. Furthermore it will examine the problem of adverse selection which appears in Basel II as a result from the proposal for the use of external ratings in determining the risk weights in the standardized approach. The paper will also attempt to find possible solutions to the adverse selection problem by discussing two similar models, and derive implications from them.

Keywords: Basel II; external ratings; adverse selection; rating agencies; standardized approach (search for similar items in EconPapers)
JEL-codes: E5 E51 G24 (search for similar items in EconPapers)
Date: 2008-09-30
New Economics Papers: this item is included in nep-cta, nep-reg and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:12722

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