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Benchmarking Model of Default Probabilities of Listed Companies

  • Cho-Hoi Hui
  • Eric Tak-Chuen Wong
  • Chi-Fai Lo
  • Ming-Xi Huang
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

The Basel Committee on Banking Supervision is responsible for proposing capital requirements for internationally active banks. The Committee first proposed the Basel New Capital Accord, also known as Basel II, in 1999, with the final version (Basel Committee on Banking Supervision 2004) in June 2004. By year-end 2006, Basel II is expected to replace the original Basel Accord, which was implemented in 1988.

Keywords

Credit Risk Term Structure Credit Spread Default Rate Leverage Ratio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Cho-Hoi Hui, Eric Tak-Chuen Wong, Chi-Fai Lo and Ming-Xi Huang 2008

Authors and Affiliations

  • Cho-Hoi Hui
  • Eric Tak-Chuen Wong
  • Chi-Fai Lo
  • Ming-Xi Huang

There are no affiliations available

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