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investigated risk aversion in the context of standardised assessments procedures used to reduce exposure to credit risk.  …
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How much of the heterogeneity in bank loan pricing is explained by disparities in banks' attitude towards risk? The answer to this question is not simple because there are only very weak proxies for gauging the degree of a bank's risk aversion. We handle this constraint by means of a novel...
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Corporate credit ratings remove the information asymmetry between lenders and borrowers to find an equilibrium price … higher non-linear systematic risks than lowly-rated corporate bonds. I value credit instruments under a four-moment CAPM …, between and within some markets there is no one-to-one relation between expected loss (rating) and credit spread (pricing …
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