Prototype risk rating system

Journal of Banking and Finance

Volumn 25, Issue 1, 2001, Pages 47-95

  Crouhy, Michel ^a   Galai, Dan ^b   Mark, Robert ^a  

^a Canadian Imperial Bank of Commerce   (Canada)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

BIS; Credit ratings; Credit risk; G21; G33; Risk management

Indexed keywords

EID: 0012236099     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00117-5     Document Type: Article

References (17)

1. Altman E.I. The importance and subtlety of credit rating migration. Journal of Banking and Finance. 22:1998;1231-1247.
2. Altman E.I., Kao D.L. Rating drift in high-yield bonds. The Journal of Fixed Income. 1:1992a;15-20.
3. Altman E.I., Kao D.L. The implications of corporate bond ratings drift. Financial Analysts Journal. 48:1992b;64-75.
4. Altman E.I., Saunders A. Credit risk measurement: Developments over the last 20 years. Journal of Banking and Finance. 21:1998;1721-1742.
5. Basle Committee A New Capital Adequacy Framework, Basle Committee on Banking Supervision. 1999;Bank of International Settlements, June, Basle.
6. Bennet, P., 1987. Applying portfolio theory to global bank lending. Journal of Banking and Finance XX, 153-169.
7. Cantor, R., Packer, F., 1994. The credit rating industry. Federal Reserve Bank of New York Quarterly Review 19 (2).
8. Cantor, R., Packer, F., 1995. Sovereign credit ratings. Current Issues in Economics and Finance (Federal Reserve Bank of New York) 1 (3).
9. Carty, L., Fons, J.S., 1993. Measuring Changes in Credit Quality, Moody's Special Report, November (also in: Journal of Fixed Income (June 1996), pp. 27-41).
10. Carty, L., Fons, J.S., 1993. Measuring Changes in Credit Quality, Moody's Special Report, November (also in: Journal of Fixed Income (June 1996), pp. 27-41).
11. Moody's Investor Service, 1995. Moody's Credit Ratings and Research, New York.
12. Moody's Investor Service, 1997. Corporate Bond Defaults and Default Ratios, 1920-1996. Solomon Brothers Inc. New York.
13. Nusbaum, D., 1996. Moody's Blue Risk 9 (10), 57-59.
14. Platt, H.D., Platt, M.B., 1991. A note on the use of industry-relative ratios in bankruptcy prediction. Journal of Banking and Finance 1183-1194.
15. Standard & Poor's, 1997. Ratings Performance 1996: Stability and Transition. New York.
16. Treacy W.F., Carey M. Credit risk rating systems at large US banks. Journal of Banking and Finance. 24:2000;167-201.
17. Watt, R.C., 1985. A factor-analytic approach to bank conditions. Journal of Banking and Finance 253-266.