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- W4294411419 abstract "This paper proposes a model that associates borrower credit risk with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method to an illustrative loan reveals that the lending standards of the institution, captured in the model by the expected and unexpected losses of the contract according to Basel II Internal Rating-Based Approach, is a key driver of the portfolio's intrinsic value, lending support to the evidence that a bank's credit policy and a bank's valuation are associated." @default.
- W4294411419 created "2022-09-03" @default.
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- W4294411419 date "2022-09-01" @default.
- W4294411419 modified "2023-10-16" @default.
- W4294411419 title "Valuating consumer credit portfolios" @default.
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- W4294411419 doi "https://doi.org/10.1016/j.latcb.2022.100067" @default.
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