Rating Properties and their Implication on Basel II-Capital

Robert Rauhmeier and Harald Scheule

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: The article “Rating Properties and their Implication on Basle II-Capital” with its empirical analysis presents new insights on the verification of ratings. The basic properties Association, Calibration, Discrimination and Refinement of rating forecasts are defined and measures derived within a consistent framework. It is shown that the property Refinement has an important influence on the Basel II capital since an increase in Refinement leads ceteris paribus to a lower average capital requirement.

Pages: 4 pages
Date: 2005-01-01
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Citations: View citations in EconPapers (6)

Published as: Rauhmeier, R. and Scheule, H., 2005, "Rating properties and their implications for Basel II capital", Risk, 18(3), 78-81.

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Persistent link: https://EconPapers.repec.org/RePEc:uts:ppaper:2005-2

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