Choice of Rating Technology and Loan Pricing in Imperfect Credit Markets

De Silva, Hannelore; Dockner, Engelbert J.; Jankowitsch, Rainer; 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.

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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: 06 Jun 2019 13:27
Identification Number or DOI: 10.21314/JOR.2014.275
ISSN: 1465-1211
URI: https://irihs.ihs.ac.at/id/eprint/2893

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