Via Roentgen 1
Milano, MI 20136
Bocconi University - Department of Finance
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credit rating, capital requirements, credit risk, recovery rate, default, procyclicality
capitale economico, secondo pilastro, rischio di concentrazione
bank, mergers, efficiency, CAR
credit rating, credit risk, recovery rate, default rate
stress tests, financial crises, event study
credit rating, capital requirements, credit risk, recovery rate, defaul, procyclicality
Eurobonds, syndicated loans, credit ratings, spreads, default risk
Liquidity risk, Liquidity coverage ratio, high quality risky asset, Basel 3
Banks, capital, risk-weighted assets, regulation, Basel accords
Bonds, Credit spreads, Ratings, Opaqueness
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This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
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liquidity risk; liquidity coverage ratio; high-quality liquid assets (HQLAs); Basel 3; Basel Committee
Basel 2, Exposure At Default, Credit Conversion Factors
VAR, internal rating systems, pricing
eurobonds, credit ratings, spreads, structural models, capital regulation, deposit insurance, banks
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