The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans
Stefano Gatti () and
Francesca Querci ()
Journal of Financial Services Research, 2008, vol. 34, issue 1, 1-34
Keywords: Loss given default rate; Bank loans; Systematic risk; New Basel Capital Accord; G21; G28 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jfsres:v:34:y:2008:i:1:p:1-34
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