Risk Based pricing of loans to corporate borrowers based on economic capital allocation and migration matrixes
The article is dedicated to the problem of loan risk-based pricing within commercial banks. Proposed Approach is based on Monte-Carlo simulations. The Approach allows to take into account several important factors: rating migration process and changes in economic capital allocation (within the time...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Peoples’ Friendship University of Russia (RUDN University)
2012-09-01
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| Series: | RUDN Journal of Economics |
| Subjects: | |
| Online Access: | http://journals.rudn.ru/economics/article/view/11918 |