IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v16y2007i5p412-433.html
   My bibliography  Save this article

Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments

Author

Listed:
  • Chateau, John-Peter D.

Abstract

No abstract is available for this item.

Suggested Citation

  • Chateau, John-Peter D., 2007. "Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 412-433.
    • Handle: RePEc:eee:finana:v:16:y:2007:i:5:p:412-433
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(07)00043-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Skewness and kurtosis implied by option prices: a second comment," LSE Research Online Documents on Economics 24938, London School of Economics and Political Science, LSE Library.
    2. 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.
    3. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
    4. Charles J. Corrado & Tie Su, 1996. "Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, June.
    5. Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2004. "A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 479-488.
    6. Elsas, Ralf & Krahnen, Jan Pieter, 1998. "Is relationship lending special? Evidence from credit-file data in Germany," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1283-1316, October.
    7. Longstaff, Francis A, 1995. "Option Pricing and the Martingale Restriction," The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1091-1124.
    8. 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.
    9. Thakor, Anjan V., 1982. "Toward a theory of bank loan commitments," Journal of Banking & Finance, Elsevier, vol. 6(1), pages 55-83, March.
    10. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    11. Resti, Andrea & Sironi, Andrea, 2007. "The risk-weights in the New Basel Capital Accord: Lessons from bond spreads based on a simple structural model," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 64-90, January.
    12. 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 351-381, July.
    13. 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.
    14. 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.
    15. David L. Olson & Desheng Dash Wu, 2007. "Credit Risk Analysis," World Scientific Book Chapters, in: Enterprise Risk Management, chapter 10, pages 161-185, World Scientific Publishing Co. Pte. Ltd..
    16. 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.
    17. Ho, Thomas S. Y. & Saunders, Anthony, 1983. "Fixed Rate Loan Commitments, Take-Down Risk, and the Dynamics of Hedging with Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(4), pages 499-516, December.
    18. 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.
    19. Morgan, Donald P., 1993. "Financial contracts when costs and returns are private," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 129-146, February.
    20. 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.
    21. Jean-Charles Rochet, 2004. "Rebalancing the three pillars of Basel II," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 7-21.
    22. AfDB AfDB, . "AfDB Group Annual Report 2004," Annual Report, African Development Bank, number 60 edited by Koua Louis Kouakou.
    23. Christine A. Brown & David M. Robinson, 2002. "Skewness and Kurtosis Implied by Option Prices: A Correction," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(2), pages 279-282, June.
    24. 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.
    25. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    26. Charles J. Corrado & Tie Su, 1996. "Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, June.
    27. Hawkins, Gregory D., 1982. "An analysis of revolving credit agreements," Journal of Financial Economics, Elsevier, vol. 10(1), pages 59-81, March.
    28. Firoozi, Fathali, 2006. "On the martingale property of economic and financial instruments," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 87-96.
    29. 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.
    30. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
    2. Baker, H. Kent & Kumar, Satish & Goyal, Kirti & Sharma, Anuj, 2021. "International review of financial analysis: A retrospective evaluation between 1992 and 2020," International Review of Financial Analysis, Elsevier, vol. 78(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
    2. 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.
    3. 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.
    4. 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.
    5. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
    6. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    7. Duran, Miguel A., 2022. "The risk–return relation in the corporate loan market," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    8. Pakorn Aschakulporn & Jin E. Zhang, 2022. "Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach," Review of Derivatives Research, Springer, vol. 25(3), pages 233-281, October.
    9. Pena, Ignacio & Rubio, Gonzalo & Serna, Gregorio, 1999. "Why do we smile? On the determinants of the implied volatility function," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1151-1179, August.
    10. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
    11. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    12. Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
    13. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    14. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
    15. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers dp419, Financial Markets Group.
    16. Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee, 2005. "Option pricing under extended normal distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(9), pages 845-871, September.
    17. Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
    18. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    19. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    20. Saurabha, Rritu & Tiwari, Manvendra, 2007. "Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options," MPRA Paper 6329, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:16:y:2007:i:5:p:412-433. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.