Banks Optimal Rating Systems and Procyclicality

Auteurs-es

  • Costanza Torricelli
  • Chiara Pederzoli

DOI :

https://doi.org/10.1685/

Résumé

The introduction of Basel II has rised concerns about the possible impact of risk-sensitive capital requirement on the business cycle. Several approaches have been proposed to deal with the procyclicality issue: a general equilibrium model is an appropriate framework for a comprehensive analysis of different proposals since it allows to account for banks endogenous strategies in relation to the other agents’ behaviour. The set up of a model to evaluate different rating systems in relation to the procyclicality issue is presented. [DOI: 10.1685/CSC06147] About DOI

Téléchargements

Publié

2007-10-01

Numéro

Vol. 2 (2007)

Rubrique

Articles

Licence

Authors who submit to this journal agree to the following terms: a) Authors retain copyright over their work, while allowing the SIMAI to place this accepted work under a Creative Commons Attribution License (CC license), which allows others to freely access, use, and share the work, with an acknowledgement of the work's authorship. b) Authors are able to waive the terms of the CC license and enter into separate, additional contractual arrangements for the non-exclusive distribution and subsequent publication of this work (e.g., publish a revised version in a journal, post it to an institutional repository or publish it in a book). with an acknowledgement of its initial publication on “Communications to SIMAI Congress”. c) In addition, authors are encouraged to post and share their work online (e.g., in institutional repositories or on their website).