Modeling loan commitments

doi:10.1016/j.frl.2007.11.002

2008-03-01

PRE

Sudheer Chava

Robert A. Jarrow *

DOI：10.1016/j.frl.2007.11.002

原文链接

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摘要

En 中文

Loan commitments represent more than 82 percent of all commercial and industrial loans by domestic banks. This paper develops a valuation model for loan commitments incorporating early exercise, multiple fees, partial exercise and credit risk. The model is analytically tractable and easy to implement. Using a sample of commercial paper backup credit lines from the Dealscan database, we show that our model prices closely match loan commitment market prices. (c) 2007 Elsevier Inc. All rights reserved.

Keyword:

Loan commitments

Credit risk

Reduced form models

Commercial paper credit lines

Default intensity

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期刊

Finance Research Letters

IF:

6.9

论文数:

9.0K

被引数:

2.8W

机构

Cornell University

学者数:

6.3W

论文数: 5.4W

被引数: 10.9W

Texas A&M University System

学者数:

4.4W

论文数: 4.0W

被引数: 4.0K

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