Advanced Search
MyIDEAS: Login to save this article or follow this journal

Basel-2 capital adequacy: Computing the `fair' capital charge for loan commitment `true' credit risk

Contents:

Author Info

  • Chateau, J.-P.
  • Wu, J.

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6W4W-4HHH7DW-1/2/65b5b0dd09d77a27a0b467a586d50160
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 16 (2007)
Issue (Month): 1 ()
Pages: 1-21

as in new window
Handle: RePEc:eee:finana:v:16:y:2007:i:1:p:1-21

Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620166

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Berger, Allen N & Udell, Gregory F, 1995. "Relationship Lending and Lines of Credit in Small Firm Finance," The Journal of Business, University of Chicago Press, vol. 68(3), pages 351-81, July.
  2. Shockley, Richard L & Thakor, Anjan V, 1997. "Bank Loan Commitment Contracts: Data, Theory, and Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(4), pages 517-34, November.
  3. Manoj Athavale & Robert O. Edmister, 2004. "The Pricing of Sequential Bank Loans," The Financial Review, Eastern Finance Association, vol. 39(2), pages 231-253, 05.
  4. Hawkins, Gregory D., 1982. "An analysis of revolving credit agreements," Journal of Financial Economics, Elsevier, vol. 10(1), pages 59-81, March.
  5. Krahnen, Jan Pieter & Weber, Martin, 2000. "Generally accepted rating principles: A primer," CFS Working Paper Series 2000/02, Center for Financial Studies (CFS).
  6. Longstaff, Francis A, 1990. " Pricing Options with Extendible Maturities: Analysis and Applications," Journal of Finance, American Finance Association, vol. 45(3), pages 935-57, July.
  7. Décamps, Jean-Paul & Rochet, Jean-Charles & Roger, Benoît, 2003. "The Three Pillars of Basel II, Optimizing the Mix," IDEI Working Papers 179, Institut d'Économie Industrielle (IDEI), Toulouse.
  8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  9. anonymous, 2003. "Capital standards for banks: the evolving Basel Accord," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Sep, pages 395-405.
  10. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
  11. Ananthanarayanan, A L & Schwartz, Eduardo S, 1980. " Retractable and Extendible Bonds: The Canadian Experience," Journal of Finance, American Finance Association, vol. 35(1), pages 31-47, March.
  12. Angbazo, Lazarus A. & Mei, Jianping & Saunders, Anthony, 1998. "Credit spreads in the market for highly leveraged transaction loans," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1249-1282, October.
  13. Thakor, Anjan V. & Udell, Gregory F., 1987. "An economic rationale for the pricing structure of bank loan commitments," Journal of Banking & Finance, Elsevier, vol. 11(2), pages 271-289, June.
  14. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  15. Anjan V. Thakor, 2004. "Toward a Theory of Bank Loan Commitments," Finance 0411048, EconWPA.
  16. Hauser, Shmuel & Lauterbach, Beni, 1996. "Empirical tests of the Longstaff extendible warrant model," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 1-14, May.
  17. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  18. Barrios, Victor E. & Blanco, Juan M., 2003. "The effectiveness of bank capital adequacy regulation: A theoretical and empirical approach," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1935-1958, October.
  19. Chateau, J. -P. & Dufresne, D., 2002. "The stochastic-volatility American put option of banks' credit line commitments:: Valuation and policy implications," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 159-181.
  20. Aron A. Gottesman & Gordon S. Roberts, 2004. "Maturity and Corporate Loan Pricing," The Financial Review, Eastern Finance Association, vol. 39(1), pages 55-77, 02.
  21. Hammes, Wolfgang & Shapiro, Mark, 2001. "The implications of the new capital adequacy rules for portfolio management of credit assets," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 97-114, January.
  22. Windcliff, H. & Vetzal, K. R. & Forsyth, P. A. & Verma, A. & Coleman, T. F., 2003. "An object-oriented framework for valuing shout options on high-performance computer architectures," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1133-1161, April.
  23. Morgan, Donald P., 1993. "Financial contracts when costs and returns are private," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 129-146, February.
  24. Thakor, Anjan V, 1989. "Competitive Equilibrium with Type Convergence in an Asymmetrically Informed Market," Review of Financial Studies, Society for Financial Studies, vol. 2(1), pages 49-71.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:16:y:2007:i:1:p:1-21. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.