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.
Download InfoIf 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.
Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0411050.
Length: 14 pages
Date of creation: 30 Nov 2004
Date of revision:
Note: Type of Document - pdf; pages: 14
Contact details of provider:
Web page: http://184.108.40.206
Find related papers by JEL classification:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Sofianos, George & Wachtel, Paul & Melnik, Arie, 1990.
"Loan commitments and monetary policy,"
Journal of Banking & Finance,
Elsevier, vol. 14(4), pages 677-689, October.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.