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Bank Loan Commitments and Interest Rate Volatility

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Author Info

  • Anjan V. Thakor

    (Washington University in St. Louis)

  • Hai Hong

    (Singapore University)

  • Stuart I. Greenbaum

    (Washington University in St. Louis)

Abstract

Bank 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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File URL: http://128.118.178.162/eps/fin/papers/0411/0411050.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0411050.

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Length: 14 pages
Date of creation: 30 Nov 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0411050

Note: Type of Document - pdf; pages: 14
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Web page: http://128.118.178.162

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Cited by:
  1. George Sofianos & Arie Melnik & Paul Wachtel, 1987. "Loan Commitments and Monetary Policy," NBER Working Papers 2232, National Bureau of Economic Research, Inc.
  2. 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.
  3. 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.

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