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Revised capital assets pricing model: an improved model for forecasting risk and return
Revised Capital Assets Pricing Model Risk Return
2010/10/18
This study's aim is to examine a new version of capital assets pricing model which is
called Revised Capital Assets Pricing Model (R-CAPM) in Tehran Stock Exchange (TSE).
According to Markowitz theo...
Unexpected Recovery Risk and LGD Discount Rate Determination
Credit risk Recovery rate Loss given default Discount rate Regulatory capital
2010/10/21
The Basle II parameter called Loss Given Default (LGD) aims to estimate the expected losses on not yet defaulted accounts in the case of default. Banks firstly need to collect historical recovery data...