Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments

Chateau, John-Peter D.

doi:10.1016/j.irfa.2007.06.006

Cited by 3 publications

(2 citation statements)

References 42 publications

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“…In other terms, while our slightly-in-themoney indebtedness values are close to the mean of the distribution ($100), the absence of a positivity constraint does affect commitment put values. This may be the case of the Gram-Charlier put estimates reported in Table 1 in Chateau (2007). (1); µ 4 = kurtosis; L = $100 the credit-line exercise value; r = short-term risk-free rate of interest, in % per annum; T = commitment maturity date; and T − j = time remaining to commitment put expiry.…”

Section: Credit-risk Assessment In Terms Of Gram-charlier Commitment mentioning

confidence: 99%

“…For instance, Thakor, Hong, and Greenbaum (1981), and Ho and Saunders (1983) derive option-like values for fixed-rate commitments. Thakor (1982) and Chateau (1990Chateau ( , 2007 obtain European and American put formulas for floating-rate commitments, and Chateau and Wu (2007) price extendible credit lines. Finally, revolving lines are priced in Hawkins (1982) and commercial paper backup credit lines are modeled in Loukoinova et al (2007).…”

Section: Introductionmentioning

confidence: 99%

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