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Credit risk based on firm conduct-performance and bank lending decisions: A capped call approach

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This paper models loan rate-setting behavior, taking into account the product pricing and performance of the borrowing firm, and also calculates the bank’s loan-risk sensitive equity values. The lending function creates the need to model bank equity as a capped call option, which captures the credit risk directly related to management of a firm’s operations. | Credit risk based on firm conduct-performance and bank lending decisions: A capped call approach

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