Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

De Silva, Hannelore and Dockner, Engelbert J. and Jankowitsch, Rainer and Pichler, Stefan and Ritzberger, Klaus (2014) Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets. The Journal of Risk, 17 (1). pp. 29-62.

Full text not available from this repository.

Abstract or Table of Contents

Accurate rating systems are of central importance for banks to price and manage their loan portfolios. A bank's choice to invest in a more accurate rating technology is based on a trade-off: the better rating system usually comes at higher cost, but endows the bank with a competitive advantage, which includes potentially better access to funds. This paper models the rating technology choice of a bank as a two-stage game in an oligopolistic banking sector. (author's abstract)

Item Type: Article in Academic Journal
Status: Published
Date Deposited: 03 Feb 2015 09:05
Last Modified: 01 Apr 2016 14:17
URI: http://irihs.ihs.ac.at/id/eprint/2893

Actions (login required)

View Item View Item