banking based on the valuation of loan portfolio risk based on a discrete time model of contingent claims analysis …Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and …

The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the … empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of … all borrowers. The results of the test supported the hypothesis of portfolio risk pricing and suggest that the spread of …

Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management … rate risk and to credit risk are remunerated, that banks' try to stabilize the mid-term net interest margin with exposure … to interest rate risk and that they act as if they have a risk budget which they allocate either to interest rate risk or …

This paper proposes a model that associates borrower credit risk with the cash flow method to assess the economic value … lending standards of the institution, captured in the model by the expected and unexpected losses of the contract according to …

This study tests both of theory of traditional banking and the corporate finance theory, by examining the impact of … loan portfolio concentration on banks' return and risk of 47 Indonesian conventional banks over the 2010-2014. We also take … existence of the theory of corporate finance, where we find that loan portfolio concentration negatively affects Indonesian …

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …