Loan Pricing Model of Commercial Bank Based on Credit and Market Correlation Risk
Abstract
Most of the current studies in loan pricing field aim at credit risk and pay little attention to the influence of credit and market correlation risk.Research based on credit risk,credit and market correlation risk is now still a new industry.This paper studies this issue and proposes corresponding model.Some significant results are obtained in the paper: Two different item loans will get different interest rate from bank only because they are in...
Paper Details
Title
Loan Pricing Model of Commercial Bank Based on Credit and Market Correlation Risk
Published Date
Jan 1, 2007
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