A new pricing approach for SME loans issued by commercial banks based on credit score mapping and Archimedean Copula simulation
Year of publication: |
2019
|
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Authors: | Liu, Chang ; Shi, Haoming ; Cai, Yujun ; Shen, Shu ; Lin, Dongtao |
Published in: |
Journal of business economics and management. - Vilnius : VTGU Publ. House "Technika", ISSN 2029-4433, ZDB-ID 2400520-4. - Vol. 20.2019, 4, p. 618-632
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Subject: | loan pricing | economic capital | Archimedean Copula | SMEs loans | internal rating model | RAROC | capital adequacy | risk tolerance | KMU | SME | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Kreditgeschäft | Bank lending | Kreditwürdigkeit | Credit rating | Simulation | Basler Akkord | Basel Accord | Bank | Kredit | Credit | Risikomanagement | Risk management |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3846/jbem.2019.9854 [DOI] |
Classification: | C63 - Computational Techniques ; G21 - Banks; Other Depository Institutions; Mortgages ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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