Risk-weighting under Standardised Approach of Computation of Capital for Credit Risk in Basel Framework – An Analysis of Default Experience of Credit Rating Agencies in India

Ajay Kumar Choudhary, B. Nethaji and Anirban Basu

Working Papers from eSocialSciences

Abstract: The paper attempts to find out whether the credit risk regulatory capital of Indian banks is commensurate with the default experience associated with ratings assigned by the Indian rating agencies. The paper also compares the relative assessment standards of the rating agencies, accredited by the Reserve Bank, in terms of ratings assigned to common borrowers and the time taken for the rated borrowers to default.

Keywords: Credit Risk; Rating Agencies; Risk Weight; Capital Requirement; capital; Indian banks; Indian rating agencies; Reserve Bank; common borrowers; borrowers to default. (search for similar items in EconPapers)
Date: 2017-08
Note: Institutional Papers
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