Credit risk versus capital requirements under basel II: Are SME loans and retail credit really different?

Journal of Financial Services Research

Volumn 28, Issue 1-3, 2005, Pages 43-75

  Jacobson, Tor ^a   Lindé, Jesper ^a   Roszbach, Kasper ^a,b  

^a SVERIGES RIKSBANK   (Sweden)

^b SVERIGES RIKSBANK   (Sweden)

Author keywords

Banks; Basel II; Corporate credit; Credit risk; Economic capital; Internal ratings; Regulatory capital; Retail credit; SME credit; Value at Risk

Indexed keywords

EID: 27844483894     PISSN: 09208550     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10693-005-4356-4     Document Type: Article

References (29)

1. Allen, Linda, Gayle DeLong, and Anthony Saunders. "Issues in the Credit Risk Modelling of Retail Markets," Journal of Banking and Finance 28, no. 4 (2004), 727-752.
2. Altman, Edward I. "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy." Journal of Finance 23, no. 4 (1968), 589-611.
3. Altman, Edward I., and Anthony Saunders. "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings." Journal of Banking and Finance 25, no. 1 (2001), 25-46.
4. Altman, Edward I., R.G. Haldeman, and P. Narayanan. "Zela-Analysis. A New Model to Identify Bankruptcy Risk of Corporations." Journal of Banking and Finance 1, no. 1 (1977), 29-54.
5. Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Bank for International Settlements, Basel, Switzerland, June 2004.
6. Calem, Paul, and Michael LaCour-Little. "Risk-Based Capital Requirements for Mortgage Loans." Journal of Banking and Finance 28, no. 3 (2001), 647-672.
7. Carey, Mark. "Credit Risk in Private Debt Portfolios." Journal of Finance 53, no. 4 (1998), 1363-1387.
8. Carey, Mark. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," In: Fredric S. Mishkin ed., Prudential Supervision: What Works and What Doesn 't. NBER and UC Press, 2000.
9. Carey, Mark, and Mark Hrycay. "Parameterizing Credit Risk Models with Rating Data." Journal of Banking and Finance 25, no. 1 (2001), 197-270.
10. Carling, Kenneth, Tor Jacobson, Jesper Lindé, and Kasper Roszbach. Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macroeconomy, Working Paper Sveriges Riksbank, No. 145, 2002.
11. Carling, Kenneth, Lars Rönnegård, and Kasper Roszbach. Is Firm Interdependence within Industries Important for Portfolio Credit Risk? Working Paper Sveriges Riksbank, No. 168, 2004.
12. Cole, Rebel A. "The Importance of Relationships to the Availability of Credit." Journal of Banking and Finance 22, no. 6-8 (1998), 959-977.
13. Degryse, Hans, and Steven Ongena. "Distance, Lending Relationships and Competition." Journal of Finance 9, no. 1 (2005), 231-266.
14. Dietsch, Michel, and Joël Petey. "The Credit Risk in SME Loans Portfolios: Modeling Issues, Pricing and Capital Requirements." Journal of Banking and Finance 26, no. 2-3 (2002), 303-322.
15. Dietsch, Michel, and Joël Petey. "Should SME Exposures Be Treated as Retail or Corporate Exposures? A Comparative Analysis of Default Probabilities and Asset Correlations in French and German SMEs." Journal of Banking and Finance 28, no. 4 (2004), 773-788.
16. Diggle, P.J., and M.G. Kenward. "Informative Drop-Out in Longitudinal Data Analysis." Journal of the Royal Statistical Society. Series C, Applied Statistics 43 (1994), 49-93.
17. Estrella, Arturo. "The Cyclical Behavior of Optimal Bank Capital." Journal of Banking and Finance 28, no. 6 (2004), 1469-1498.
18. Glennon, Dennis, and Peter Nigro. An Analysis of SBA Loan Defaults by Maturity Structure, Manuscript, Office of the Compotroller of the Currency: Washington, DC, 2003.
19. Gordy Michael B. "A Comparative Anatomy of Credit Risk Models." Journal of Banking and Finance 24, no. 1-2 (2000), 119-149.
20. Hamerle, Alfred, Thilo Liebig, and Daniel Rösch. Credit Risk Factor Modeling and the Basel II IRB Approach, Deutsche Bundesbank Discussion Paper, Series 2: Banking and Financial Supervision, no. 2, 2003.
21. Jacobson, Tor, and Jesper Lindé. "Credit Rating and the Business Cycle: Can Bankruptcies Be Forecast?" Sveriges Riksbank Economic Review 4 (2000).
22. Jacobson, Tor, Jesper Lindé, and Kasper Roszbach. "New Basel rules: The Interaction Between Risk and Capital Requirements." Sveriges Riksbank Economic Review 4 (2002).
23. Jacobson, Tor, Jesper Lindé, and Kasper Roszbach. Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies, Forthcoming in the Journal of Banking and Finance (2005).
24. KMV Credit Monitor, Moody's KMV, www.moodyskmv.com/products, 2005.
25. Lin, Haiqun, Daniel O. Scharfstein, and Robert A. Rosenheck. "Analysis of Longitudinal Data with Irregular, Outcome-Dependent Follow-Up." Journal of the Royal Statistical Society Series B 66, no. 3 (2004), 791-813.
26. Overview of the New Basel Capital Accord. "Consultative Document of the Basel Committee on Banking Supervision." BIS, 2003.
27. Perli, Roberto, and William I. Nayda. "Economic and Regulatory Capital Allocation for Revolving Retail Exposures." Journal of Banking and Finance 28, no. 4 (2003), 789-809.
28. Petersen, Mitchell, and Raghuram Rajan. "Does Distance Still Matter? The Information Revolution in Small Business Lending." Journal of Finance 57, no. 6 (2002), 2533-2570.
29. Schmit, Mathias. "Credit Risk in the Leasing Industry." Journal of Banking and Finance 28, no. 4 (2003), 811-833.