Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9553952 | Journal of Banking & Finance | 2005 | 23 Pages |
Abstract
Internal credit ratings are expected to gain in importance because of their potential use for determining regulatory capital adequacy and banks' increasing focus on the risk-return profile in commercial lending. Whereas the eligibility of financial factors as inputs for internal credit ratings is widely accepted, the role of non-financial factors remains ambiguous. Analyzing credit file data from four major German banks, we find evidence that the combined use of financial and non-financial factors leads to a more accurate prediction of future default events than the single use of each of these factors.
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Jens Grunert, Lars Norden, Martin Weber,