Modeling loan commitments

被引：6

作者：

Chava, Sudheer ^{[2
]}

Jarrow, Robert ^{[1
]}

机构：

[1] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA

[2] Texas A&M Univ, Mays Business Sch, Dept Finance, College Stn, TX 77843 USA

来源：

FINANCE RESEARCH LETTERS | 2008年 / 5卷 / 01期

关键词：

Loan commitments; Credit risk; Reduced form models; Commercial paper credit lines; Default intensity;

D O I：

10.1016/j.frl.2007.11.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：11 / 20

页数：10

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