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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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  • Chateau, J.-P. & Wu, J., 2007. "Basel-2 capital adequacy: Computing the `fair' capital charge for loan commitment `true' credit risk," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 1-21.
  • Handle: RePEc:eee:finana:v:16:y:2007:i:1:p:1-21

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    3. Thakor, Anjan V., 1982. "Toward a theory of bank loan commitments," Journal of Banking & Finance, Elsevier, vol. 6(1), pages 55-83, March.
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    7. 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.
    8. 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 637-654, May-June.
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    11. Decamps, Jean-Paul & Rochet, Jean-Charles & Roger, Benoit, 2004. "The three pillars of Basel II: optimizing the mix," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 132-155, April.
    12. 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.
    13. 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.
    14. Morgan, Donald P., 1993. "Financial contracts when costs and returns are private," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 129-146, February.
    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 517-534, November.
    16. Aron A. Gottesman & Gordon S. Roberts, 2004. "Maturity and Corporate Loan Pricing," The Financial Review, Eastern Finance Association, vol. 39(1), pages 55-77, February.
    17. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    18. 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.
    19. 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.
    20. Hawkins, Gregory D., 1982. "An analysis of revolving credit agreements," Journal of Financial Economics, Elsevier, vol. 10(1), pages 59-81, March.
    21. Longstaff, Francis A, 1990. " Pricing Options with Extendible Maturities: Analysis and Applications," Journal of Finance, American Finance Association, vol. 45(3), pages 935-957, July.
    22. 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.
    23. Manoj Athavale & Robert O. Edmister, 2004. "The Pricing of Sequential Bank Loans," The Financial Review, Eastern Finance Association, vol. 39(2), pages 231-253, May.
    24. 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.
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    Cited by:

    1. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.

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