Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212028 
Year of Publication: 
2006
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 3/2006
Publisher: 
Bank of Finland, Helsinki
Abstract: 
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.
Subjects: 
Basel II
rating
pricing
exposure at default
EVA
JEL: 
C63
G12
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
952-462-260-2
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.