کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960788 | 929681 | 2007 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The risk-weights in the New Basel Capital Accord: Lessons from bond spreads based on a simple structural model
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
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![عکس صفحه اول مقاله: The risk-weights in the New Basel Capital Accord: Lessons from bond spreads based on a simple structural model The risk-weights in the New Basel Capital Accord: Lessons from bond spreads based on a simple structural model](/preview/png/960788.png)
چکیده انگلیسی
The Basel Committee designed a system of risk weights (“standardised approach”) to measure the riskiness of banks' loan portfolios. We investigate its ability to adequately reflect risk through an analysis of the economic capital implied in corporate bond spreads. This is based on a dataset of issuance spreads, ratings and other relevant bond variables including 7232 eurobonds issued by an internationally-diversified sample during 1991-2003. Three main results emerge: the spread/rating relationship is strongly significant; the estimated spreads per rating class indicate a steeper risk/rating relationship than the one approved by the Basel Committee; no significant difference appears in the spread/rating relation of banks and non-financial firms issuers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Intermediation - Volume 16, Issue 1, January 2007, Pages 64-90
Journal: Journal of Financial Intermediation - Volume 16, Issue 1, January 2007, Pages 64-90
نویسندگان
Andrea Resti, Andrea Sironi,