Pricing risky bank loans in the new Basel 2 environment

被引：0

作者：

Hasan, Iftekhar ^{[2
]}

Zazzara, Cristiano ^{[1
,3
,4
,5
]}

机构：

[1] Univ Luiss Guido Carli, Ecole Polytech Fed Lausanne, CAPITALIA Banking Grp, Rome, Italy

[2] Rensselaer Polytech Inst, Lally Sch Management & Technol, Finance, Troy, NY USA

[3] Capitalia Banking Grp, Res Dept, Rome, Italy

[4] Italian Assoc Banking & Finance ASSONEBB, Rome, Italy

[5] Swiss Fed Inst Technol EPFL, Zurich, Switzerland

来源：

JOURNAL OF BANKING REGULATION | 2006年 / 7卷 / 3-4期

关键词：

D O I：

10.1057/palgrave.jbr.2350026

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

What should be the price of banking loans according to new Basel 2 rules? What should be the adequate remuneration for banks as a result of undertaking 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. The mathematical treatableness of the proposed formula and its easy feeding with internal and market inputs allow a simple implementation by the final user.

引用

页码：243 / 267

页数：25

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