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.
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页码：243 / 267
页数：25
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