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The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans

Stefano Caselli, 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)
Date: 2008
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Handle: RePEc:kap:jfsres:v:34:y:2008:i:1:p:1-34