.png){kind=icon}
.png){kind=icon}
Return
Modeling loan commitments
.png){kind=icon}
PRE
AI
DOI：10.1016/j.frl.2007.11.002.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
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.
Keywords:
Loan commitments
Credit risk
Reduced form models
Commercial paper credit lines
Default intensity
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
6.9
Papers:
9.0K
Citations:
2.8W