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Volumn 13, Issue 4, 2004, Pages 496-521

Loan pricing under Basel capital requirements

Author keywords

Bank regulation; Capital requirements; Credit risk; Internal ratings; Loan defaults; Loan interest rates; Net interest income

Indexed keywords


EID: 7544231455     PISSN: 10429573     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfi.2004.07.001     Document Type: Article
Times cited : (134)

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  • 2
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    • Equity, bonds, and bank debt: Capital structure and financial market equilibrium under asymmetric information
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    • Bolton, P.1    Freixas, X.2
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    • A theory of bank capital
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    • Diamond, D.W.1    Rajan, R.G.2
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    • Concerns and considerations for the practical implementation of the new Basel Accord
    • Remarks at the ICBI Risk Management Conference, Avialable from www.federalreserve.gov/boarddocs/speeches/2003/20031202
    • R.W. Ferguson Concerns and considerations for the practical implementation of the new Basel Accord. Remarks at the ICBI Risk Management Conference Avialable from www.federalreserve.gov/boarddocs/speeches/2003/20031202
    • Ferguson, R.W.1
  • 6
    • 0041856328 scopus 로고    scopus 로고
    • A risk-factor model foundation for ratings-based bank capital rules
    • M.B. Gordy A risk-factor model foundation for ratings-based bank capital rules J. Finan. Intermediation 12 2003 199-232
    • (2003) J. Finan. Intermediation , vol.12 , pp. 199-232
    • Gordy, M.B.1
  • 7
    • 0000949157 scopus 로고    scopus 로고
    • Liberalization, moral hazard in banking, and prudential regulation: Are capital requirements enough?
    • T.F. Hellmann K.C. Murdock J.E. Stiglitz Liberalization, moral hazard in banking, and prudential regulation: Are capital requirements enough? Amer. Econ. Rev. 90 2000 147-165
    • (2000) Amer. Econ. Rev. , vol.90 , pp. 147-165
    • Hellmann, T.F.1    Murdock, K.C.2    Stiglitz, J.E.3
  • 8
    • 0031413974 scopus 로고    scopus 로고
    • Financial intermediation, loanable funds, and the real sector
    • B. Holmström J. Tirole Financial intermediation, loanable funds, and the real sector Quart. J. Econ. 112 1997 663-691
    • (1997) Quart. J. Econ. , vol.112 , pp. 663-691
    • Holmström, B.1    Tirole, J.2
  • 9
    • 1942531524 scopus 로고    scopus 로고
    • The empirical relationship between average asset correlation, firm probability of default and asset size
    • J. Lopez The empirical relationship between average asset correlation, firm probability of default and asset size J. Finan. Intermediation 13 2004 265-283
    • (2004) J. Finan. Intermediation , vol.13 , pp. 265-283
    • Lopez, J.1
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    • 4344684378 scopus 로고    scopus 로고
    • Credit risk measurement and procyclicality
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    • Lowe, P., 2002. Credit risk measurement and procyclicality. Working paper No. 116, BIS
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    • Lowe, P.1
  • 12
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    • An analytic derivation of the cost of deposit insurance and loan guarantees: An application of modern option pricing theory
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    • (1977) J. Banking Finance , vol.1 , pp. 3-11
    • Merton, R.C.1
  • 13
    • 38249011477 scopus 로고
    • Capital requirements and the behaviour of commercial banks
    • J.-C. Rochet Capital requirements and the behaviour of commercial banks Europ. Econ. Rev. 36 1992 1137-1170
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    • Rochet, J.-C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.