Research Discussion Papers, Bank of Finland
No 3/2006:
Pricing risky bank loans in the new Basel II environment
Iftekhar Hasan ()
and Cristiano Zazzara ()
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.
Keywords: Basel II; rating; pricing; exposure at default; EVA; (follow links to similar papers)
JEL-Codes: C63; G12; G21; G28; (follow links to similar papers)
49 pages, April 18, 2006
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
0603netti.pdf 
Download Statistics
- This paper is published as:
-
Hasan, Iftekhar and Cristiano Zazzara, (2006), 'Pricing risky bank loans in the new Basel II environment', Journal of Banking Regulation, Vol. 7, July, No. 3/4, pages 243-267
Questions (including download problems) about the papers in this series should be directed to Minna Nyman ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
