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Loan guarantee portfolios and joint loan guarantees with stochastic interest rates

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  • Chang, Chuang-Chang
  • Chung, San-Lin
  • Yu, Min-Teh

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  • Chang, Chuang-Chang & Chung, San-Lin & Yu, Min-Teh, 2006. "Loan guarantee portfolios and joint loan guarantees with stochastic interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 16-35, February.
    • Handle: RePEc:eee:quaeco:v:46:y:2006:i:1:p:16-35
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    3. Van Son Lai & Michel Gendron, 1994. "On Financial Guarantee Insurance under Stochastic Interest Rates," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 19(2), pages 119-137, December.
    4. Robert C. Merton & Zvi Bodie, 1992. "On the Management of Financial Guarantees," Financial Management, Financial Management Association, vol. 21(4), Winter.
    5. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
    6. Johnson, Herb & Stulz, Rene, 1987. "The Pricing of Options with Default Risk," Journal of Finance, American Finance Association, vol. 42(2), pages 267-280, June.
    7. Dermine, Jean & Lajeri, Fatma, 2001. "Credit risk and the deposit insurance premium: a note," Journal of Economics and Business, Elsevier, vol. 53(5), pages 497-508.
    8. Jones, E. Philip & Mason, Scott P., 1980. "Valuation of loan guarantees," Journal of Banking & Finance, Elsevier, vol. 4(1), pages 89-107, March.
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    Cited by:

    1. Pankaj C. Patel & Mike G. Tsionas, 2022. "Learning‐by‐lending and learning‐by‐repaying: A two‐sided learning model for defaults on Small Business Administration loans," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(4), pages 906-919, June.
    2. Feunou Bruno & Tafolong Ernest, 2015. "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 531-559, December.

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