Parameterizing credit risk models with rating data

Journal of Banking and Finance

Volumn 25, Issue 1, 2001, Pages 197-270

  Carey, Mark ^a   Hrycay, Mark ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b 1422 Nicholson   (United States)

Author keywords

Capital regulation; Credit ratings; Credit risk; Debt default; G11; G20; G31; G33; Value at risk

Indexed keywords

EID: 0007496802     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00124-2     Document Type: Article

References (22)

1. Altman E.I. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance. 23:1968;189-209.
2. Altman E.I., Saunders A. Credit risk measurement: Developments over the last 20 years. Journal of Banking and Finance. 21:1997;1721-1742.
3. Altman E.I., Suggitt H. Default rates in the syndicated bank loan market: A mortality analysis. Journal of Banking and Finance. 24:2000;229-254.
4. Basel Committee on Banking Supervision, 1999. A new capital adequacy framework. Bank for International Settlements, Basel, June 3.
5. Blume, M.E., Felix L., Craig M.A., 1998. The declining credit quality of US corporate debt: Myth or reality? Journal of Finance 53 (4), 1389-1413.
6. Carey M. Credit risk in private debt portfolios. Journal of Finance. 53(4):1998;1363-1387.
7. Delianis, G., Geske, R., 1998. Credit risk and risk neutral default probabilities: Information about rating migrations and defaults. Working paper, UCLA.
8. English, W.B., Nelson, W.R., 1999. Bank risk rating of business loans. In: Proceedings of the 35th Annual Conference on Bank Structure and Competition, May.
9. Falkenstein, E., 2000. Validating commercial risk grade mapping: Why and how. Journal of Lending and Credit Risk Management, February.
10. Gordy M.B. A comparative anatomy of credit risk models. Journal of Banking and Finance. 24(1):2000a;119-150.
11. Gordy, M.B., 2000b. Credit VaR models and risk-bucket capital rules: A reconciliation. Working paper, Federal Reserve Board, Washington, DC.
12. Gupton, G.M., Finger, C.C., Bathia, M., 1997. CreditMetrics - technical document. J.P. Morgan, New York ( www.jpmorgan.com ).
13. Keenan, S.C., Carty, L.V., Shtogin, I., 1998. Historical default rates of corporate bond Issuers, 1920-1997. Moody's Investors Service, New York, February.
14. Krahnen, J.P., Weber, M., 2000. Evidence on credit ratings in Germany. Working paper, University of Frankurt.
15. Mingo, J., 2000. Policy implications of the federal reserve study of credit risk models at major US banking institutions. Journal of Banking and Finance 24, 15-34.
16. Nickell P., Perraudin W., Varotto S. Stability of rating transitions. Journal of Banking and Finance. 24:2000;203-228.
17. Ong, M.K., 1999. Internal Credit Risk Models: Capital Allocation and Performance Measurement. Risk Books, London.
18. Saunders, A., 1999. Credit Risk Measurement. Wiley, New York.
19. Sobehart, J.R., Keenan, S.C., Stein, R.M., 2000. Benchmarking quantitative default risk models: A validation methodology. Moody's Investors Service, New York, March.
20. Society of Actuaries, 1998. 1986-1994 Credit risk loss experience study: Private placement bonds. Schaumberg, IL.
21. Treacy, W.F., Carey, M., 1998. Credit risk rating at large US banks. Federal Reserve Bulletin 84, November.
22. Zhou, C., 1997. Default correlation: An analytical result. Working paper no. 1997-27, Federal Reserve Board, Washington, DC.