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The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including … estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …
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We empirically investigate the effect that relationship lending has on the availability and pricing of interbank liquidity. Our analysis is based on a daily panel of unsecured overnight loans between 1,079 distinct German bank pairs from March 2006 to November 2007, a period that includes the...
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with theory that relationship lenders have private information about the creditworthiness of their close borrowers …
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