Basel-II Kapsamında Kredi Derecelendirmesi ve Kurumsal Kredilerde Sermaye Yükümlülüğü: Karşılaştırmalı Analiz
Credit Rating and Capital Requirements in Corporate Loans within the Framework of Basel-II: A Comparative Analysis

Summary/Abstract: The credit ratings introduced by Basel-II standards have had significant effects on the calculation of capital adequacy and leverage ratios (capital/total assets) of banks. Using the Kealhofer, McQuown and Vasicek (KMV) model, Çabukel (2006) calculated default probabilities for stocks traded on Istanbul Stock Exchange, assigned credit ratings, and calculated the capital requirements according to Basel-II standardized and basic indicator approaches for a hypothetical portfolio. By this way, he assigned credit ratings to companies and concluded that according to Basel-II standards corporate credits could be reduced by utilizing a bottom-up approach. In contrast to the results of the quantitative impact study on Basel-II of Banking Regulation and Supervision Agency, the quantitative impact study carried out by the Basel Committee on Banking Supervision showed a 20,7% decline in capital adequacy on average (BCBS, 2006). In this study, similar countries have been identified by using a top-down approach and the impact of credit rating on capital adequacy of corporate loans have been comparatively investigated. Later, capital requirements for corporate loans have been calculated under certain assumptions. As a result, the study has demonstrated that using national credit ratings, a 29% reduction in capital requirement could be achieved through this approach.

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