This paper discusses some potential implications - both intended and unintended - of The New Basel Accord, which is to be finalized by the end of 2001.Our focus is on the reforms of the rules for determining minimum capital requirements for credit risk.The discussion is divided into effects at...

It has been proposed that the potential procyclicality of Basel II could be alleviated by using through-the-cycle (TTC) ratings in IRBA models. A TTC rating would be based on the structural component of the debtor's credit risk ignoring cyclical fluctuations. This paper tests for the existence...

Since the introduction of Basel II, it has been argued that the use of internal credit risk models in banks may strengthen the procyclicality of the financial system. This problem could be alleviated by using through-the-cycle (TTC) ratings. A TTC rating ignores cyclical fluctuations of credit...