Loan pricing under Basel II in an imperfectly competitive banking market

Journal of Banking and Finance

Volumn 32, Issue 12, 2008, Pages 2725-2733

  Ruthenberg, David ^a,b   Landskroner, Yoram ^b,c  

^a Financial Stability Division   (Israel)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

^c NEW YORK UNIVERSITY   (United States)

Author keywords

Basel II; Corporate customers; Exposure at default (EAD); Internal rating based (IRB) approach; Loss given default (LGD); Minimum capital requirements; Probabilities of default (PD); Retail customers; Standardized approach; Unexpected loss (UL); Value at Risk (VaR)

Indexed keywords

EID: 55149103728     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.07.009     Document Type: Article

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