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

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  • Chateau, J.-P.
  • Wu, J.

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Bibliographic Info

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

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

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Handle: RePEc:eee:finana:v:16:y:2007:i:1:p:1-21

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Web page: http://www.elsevier.com/locate/inca/620166

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References

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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Krahnen, Jan Pieter & Weber, Martin, 2001. "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 3-23, January.
  9. 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.
  10. Hawkins, Gregory D., 1982. "An analysis of revolving credit agreements," Journal of Financial Economics, Elsevier, vol. 10(1), pages 59-81, March.
  11. 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.
  12. 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.
  13. Thakor, Anjan V., 1982. "Toward a theory of bank loan commitments," Journal of Banking & Finance, Elsevier, vol. 6(1), pages 55-83, March.
  14. Decamps, Jean-Paul & Rochet, Jean-Charles & Roger, Benoit, 2004. "The three pillars of Basel II: optimizing the mix," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 132-155, April.
  15. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  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. 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.
  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. Morgan, Donald P., 1993. "Financial contracts when costs and returns are private," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 129-146, February.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
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