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|
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CAMA Working Papers
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- Timo Henckel & Gordon Menzies & Nicholas Prokhovnik & Daniel Zizzo, 2010. "Barro-Gordon Revisited: Reputational Equilibria with Inferential Expectations," University of East Anglia School of Economics Working Paper Series 018, School of Economics, University of East Anglia, Norwich, UK..
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