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Keywords: RAROC
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2023) 24 (2): 212–225.
Published: 24 January 2023
... found that risk-premium is not reflected in the current loan pricing policy as per Basel II norms. However, the GMM estimation on RAROC can price risk premium and probability of default, LGD, risk weight, bank beta and capital adequacy, which are the prime determinants of loan pricing. The average RAROC...
