کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7356489 1478282 2018 52 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Credit risk in European banks: The bright side of the internal ratings based approach
ترجمه فارسی عنوان
ریسک اعتباری در بانکهای اروپایی: رویکرد مبتنی بر ریسک داخلی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the accuracy of internal rating based (IRB) models in measuring credit risk. We contribute to the growing debate on the current prudential regulatory framework by investigating the use of validated IRB models in promoting efficient risk management practices. Our empirical analysis is based on a novel panel data set of 177 Western European banks observed from 2008 to 2015, in the aftermath of the financial and economic crisis. We find that IRB banks were able to curb the increase in credit risk driven by the macroeconomic slowdown better than banks under the standardized approach. This suggests that the introduction of the internal ratings based approach by Basel II has promoted the adoption of stronger risk management practices among banks, as meant by the regulators.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 93, August 2018, Pages 213-229
نویسندگان
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