Bank Loan Commitments and Interest Rate Volatility
AbstractBank loan commitments are examined in the context of option pricing models and a valuation formula is obtained. The partial takedown phenomenon, which is both distinctive and vexatious, is considered in detail. Finally, extimates of the value of U.S. bank loan commitments and their sensitivity to interest rate changes are provided.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0411050.
Length: 14 pages
Date of creation: 30 Nov 2004
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Note: Type of Document - pdf; pages: 14
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- George W. Kutner & James A. Seifert, 1989. "The Valuation of Mortgage Loan Commitments Using Option Pricing Estimates," Journal of Real Estate Research, American Real Estate Society, vol. 4(2), pages 13-20.
- Sofianos, George & Wachtel, Paul & Melnik, Arie, 1990.
"Loan commitments and monetary policy,"
Journal of Banking & Finance,
Elsevier, vol. 14(4), pages 677-689, October.
- Ozgur Emre Ergungor, 2000. "Relationship loans and information exploitability in a competitive market: loan commitments vs. spot loans," Working Paper 0013, Federal Reserve Bank of Cleveland.
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