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
收藏
页码：243 / 267
页数：25
相关论文
共 50 条
  • [41] Do risk-adjusted pricing and the new Basel capital accord reinforce the credit cycle?
    Manuel Ammann
    Financial Markets and Portfolio Management, 2001, 15 (2): : 141 - 147
  • [42] New Basel Accord and bank-wide Risk Management under loose monetary policy
    Chen Xiaowei
    CHINESE PERSPECTIVE ON RISK ANALYSIS AND CRISIS RESPONSE, 2010, 13 : 867 - +
  • [43] The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans
    Stefano Caselli
    Stefano Gatti
    Francesca Querci
    Journal of Financial Services Research, 2008, 34 : 1 - 34
  • [44] NEW PRICING SOLUTIONS IN THE CHANGING LATVIAN BUSINESS ENVIRONMENT
    Bruksle, Ieva
    Gode, Natalija
    POLITICAL SCIENCES, LAW, FINANCE, ECONOMICS AND TOURISM, VOL III, 2014, : 365 - 372
  • [45] The sensitivity of the loss given default rate to systematic risk: New empirical evidence on bank loans
    Caselli, Stefano
    Gatti, Stefano
    Querci, Francesca
    JOURNAL OF FINANCIAL SERVICES RESEARCH, 2008, 34 (01) : 1 - 34
  • [46] A NEW STOCK MODEL FOR OPTION PRICING IN UNCERTAIN ENVIRONMENT
    Li, S.
    Peng, J.
    IRANIAN JOURNAL OF FUZZY SYSTEMS, 2014, 11 (03): : 27 - 41
  • [47] A new approach to VAR pricing and control in the competitive environment
    Momoh, JA
    Zhu, JZ
    PROCEEDINGS OF THE THIRTY-FIRST HAWAII INTERNATIONAL CONFERENCE ON SYSTEM SCIENCES, VOL III: EMERGING TECHNOLOGIES TRACK, 1998, : 104 - 111
  • [48] Mortgage Modifications for Government Loans: New Tools Needed for a Higher Rate Environment
    Goodman, Laurie S.
    Kaul, Karan
    JOURNAL OF STRUCTURED FINANCE, 2019, 25 (02): : 35 - 44
  • [49] WORLD-BANK LAUNCHES NEW ENVIRONMENT POLICY
    HOLDEN, C
    SCIENCE, 1987, 236 (4803) : 769 - 769
  • [50] Exploiting old customers and attracting new ones: The case of bank deposit pricing
    Carbo-Valverde, Santiago
    Hannan, Timothy H.
    Rodriguez-Fernandez, Francisco
    EUROPEAN ECONOMIC REVIEW, 2011, 55 (07) : 903 - 915
12345