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Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
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Are Banks' Internal Risk Parameters Consistent?... 1503222888 Book Cover

Are Banks' Internal Risk Parameters Consistent?...

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Edition Description

This study examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs and LGDs assigned by more than one...

Edition Details
Format:Paperback
Language:English
ISBN:1503222888
Format: Paperback
Condition:
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12.95
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