O Spread de Incumprimento dos Emprestimos Bancarios
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KeywordsBank loans; default spread; credit risk; probability of default; loss given default; prime rate; risk grade transition; Markov chain; economic cycle;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-15 (All new papers)
- NEP-BAN-2008-04-15 (Banking)
- NEP-RMG-2008-04-15 (Risk Management)
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