Arbeitspapier
Pricing risky bank loans in the new Basel II environment
Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has been in pursuit of possible outcomes for undertaking such credit risk.In this paper, we propose a simplified formula to price bank's corporate loans, aiming at making bank managers aware of the creation/destruction of shareholder value.We show that the mathematical treatability of the proposed formula and its easy feeding with internal and market inputs allow simple implementation by the final user.
- ISBN
-
952-462-260-2
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Finland Research Discussion Papers ; No. 3/2006
- Classification
-
Wirtschaft
Computational Techniques; Simulation Modeling
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Subject
-
Basel II
rating
pricing
exposure at default
EVA
- Event
-
Geistige Schöpfung
- (who)
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Hasan, Iftekhar
Zazzara, Cristiano
- Event
-
Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hasan, Iftekhar
- Zazzara, Cristiano
- Bank of Finland
Time of origin
- 2006
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