The sensitivity of the loss given default rate to systematic risk: New empirical evidence on bank loans

Journal of Financial Services Research

Volumn 34, Issue 1, 2008, Pages 1-34

  Caselli, Stefano ^a   Gatti, Stefano ^a   Querci, Francesca ^b  

^a BOCCONI UNIVERSITY   (Italy)

^b UNIVERSITY OF GENOA   (Italy)

Author keywords

Bank loans; Loss given default rate; New Basel Capital Accord; Systematic risk

Indexed keywords

EID: 44349138898     PISSN: 09208550     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10693-008-0033-8     Document Type: Article

References (26)

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