| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069921 | Finance Research Letters | 2008 | 10 Pages |
Abstract
Loan commitments represent more than 82 percent of all commercial and industrial loans by domestic banks. This paper develops a valuation model for loan commitments incorporating early exercise, multiple fees, partial exercise and credit risk. The model is analytically tractable and easy to implement. Using a sample of commercial paper backup credit lines from the Dealscan database, we show that our model prices closely match loan commitment market prices.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sudheer Chava, Robert Jarrow,