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

  • Chateau, J.-P.
  • Wu, J.

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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  1. 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.
  2. 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.
  3. Décamps, Jean-Paul & Rochet, Jean-Charles & Roger, Benoît, 2003. "The Three Pillars of Basel II, Optimizing the Mix," IDEI Working Papers 179, Institut d'Économie Industrielle (IDEI), Toulouse.
  4. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  5. 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.
  6. 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.
  7. Anjan V. Thakor, 2004. "Toward a Theory of Bank Loan Commitments," Finance 0411048, EconWPA.
  8. 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.
  9. 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.
  10. Morgan, Donald P., 1993. "Financial contracts when costs and returns are private," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 129-146, February.
  11. 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.
  12. Krahnen, Jan Pieter & Weber, Martin, 2001. "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 3-23, January.
  13. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Hawkins, Gregory D., 1982. "An analysis of revolving credit agreements," Journal of Financial Economics, Elsevier, vol. 10(1), pages 59-81, March.
  24. 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.
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