Pricing risky bank loans in the new Basel II environment

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Title: Pricing risky bank loans in the new Basel II environment
Author: Hasan, Iftekhar ; Zazzara, Cristiano
Organization: Suomen Pankki
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2006
Series number: 3/2006
Year of publication: 2006
Publication date: 8.1.2006
Published in: Published in Journal of Banking Regulation, 7, September 2006: 243-267
Pages: 49 s.
Keywords: hinnoittelu; pankkitoiminta; luotot; riskit; reittaus; yritykset; mallit;
JEL: C63; G12; G21; G28
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. Key words: Basel II, rating, pricing, exposure at default, EVA JEL classification numbers: C63, G12, G21, G28
Note: Ilmestyny myös Journal of Banking Regulation 2006 ; 7 ; 3-4.
Rights: https://helda.helsinki.fi/bof/copyright


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