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 …

show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is …

LIBOR. We show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit …

show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is …