Bank 'ratings arbitrage': Is LGD a blind spot in economic capital calculations?
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References listed on IDEAS
- Jackson, Patricia & Perraudin, William & Saporta, Victoria, 2002.
"Regulatory and "economic" solvency standards for internationally active banks,"
Journal of Banking & Finance,
Elsevier, vol. 26(5), pages 953-976, May.
- Patricia Jackson & William Perraudin & Victoria Saporta, 2002. "Regulatory and 'economic' solvency standards for internationally active banks," Bank of England working papers 161, Bank of England.
- Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, August.
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- Alsakka, Rasha & ap Gwilym, Owain, 2012. "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 45-55.
- repec:eee:ecofin:v:44:y:2018:i:c:p:289-313 is not listed on IDEAS
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KeywordsEconomic capital Loan pricing Loss given default Ratings arbitrage;
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