Model for reputational risk for subsidiaries of non-public group with reciprocal shareholding
The paper presents the model for reputational risk for subsidiaries of non-public group with reciprocal shareholding within the Basel Accord. A test for lack of reputation risk is presented. Proposal for quantification of the non-measurable risk has been outline first for the case of the effective public market, than a limited model has been presented for the non-consolidated level in case of the lack of public benchmark.
|Date of creation:||09 Jan 2012|
|Date of revision:|
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University of East Anglia Applied and Financial Economics Working Paper Series
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