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When Arm’s Length is Too Far : Relationship Banking over the Business Cycle
Beck, T.H.L. / Degryse, H.A. / de Haas, R. / van Horen, N.
banking / financial economicsResource overview

When Arm’s Length is Too Far : Relationship Banking over the Business Cycle

Paper2014

by Beck, T.H.L., Degryse, H.A., de Haas, R., van Horen, N.

Tags
bankingfinancial economics

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Suggested foundations for asset pricing and factor research and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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