Modeling loan commitments ✩

نویسندگان

  • Sudheer Chava
  • Robert Jarrow
چکیده

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. © 2007 Elsevier Inc. All rights reserved. JEL classification: G13; G21

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تاریخ انتشار 2015