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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)

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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://129.3.20.41/eps/fin/papers/0411/0411050.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0411050.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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://129.3.20.41

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G - Financial Economics

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  1. 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. [Downloadable!]
  2. Dusan Stojanovic & Mark D. Vaughn & Timothy J. Yeager, 2001. "Do Federal Home Loan Bank membership and advances lead to bank risk-taking?," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 165-196.
  3. George Sofianos & Arie Melnik & Paul Wachtel, 1991. "Loan Commitments and Monetary Policy," NBER Working Papers 2232, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. 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. [Downloadable!]
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This page was last updated on 2009-12-13.

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