An Analysis and Critique of the Bis Proposal on Capital Adequacy and Ratings

By Edward I. Altman, Anthony Saunders. 2001

189 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/40b0f12c6fead5aedfdb1f73f160c90cda3ba3da

Citations in the corpus

• The institutional memory hypothesis and the procyclicality of bank lending behavior (2002, unknown): “This could occur because individual borrower ratings may depend on assessed probability of default, which may be correlated with the business cycle (Altman and Saunders 2001, Zsamboki 2002).”
• Corporate Governance: What’s Special About Banks? (2013, unknown): “…default (in part because they move slowly to issue downgrades) and that issue ratings that tend to be procyclical, which fall during recessions and after credit quality has already declined, requiring banks to increase capital at a time when they are most fragile (Altman & Saunders 2001).”
• Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies (2007, unknown): “For discussion and analysis of the role of credit ratings in the new capital adequacy framework, see Altman, Bharath, and Saunders (2002), Altman and Saunders (2001), Cantor (2001), and Linnell (2001).”
• Business and default cycles for credit risk (2003, unknown): “Such a decrease in capital may be spurred by risk sensitive capital requirements based on recent estimates of default probabilities, see Altman and Saunders (2001) and Borio, Furfine, and Lowe (2001).”
• Procyclicality of the financial system and financial stability: issues and policy options (2001, unknown): “98 Altman and Saunders (2001) argue that linking capital requirements to external ratings could increase financial instability due to the tendency for ratings downgrades to occur more frequently in recessions than in booms.”
• Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries (2019, unknown): “Altman and Saunders (2001) argue that the ability of ratings to predict default is poor and, hence, their usefulness for the calculation of risk weights is limited.”
• The Credit Rating Industry: An Industrial Organization Analysis (2001, unknown): “See, for example, BIS (2000).”