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Bank Loan Commitments and Interest Rate Volatility

  • Anjan V. Thakor

    (Washington University in St. Louis)

  • Hai Hong

    (Singapore University)

  • Stuart I. Greenbaum

    (Washington University in St. Louis)

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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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
Contact details of provider: Web page: http://128.118.178.162

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